I would expect you have some information about the zip contents, to be provided by the individual sending the information.
Have you searched the Internet using the file extension "gz" and some other related keywords? That approach may provide some revealing information.
Once you get the file unzipped, you can code a simple SAS DATA step to interrogate the first few rows, as shown below:
filename indata '<_your_input_data_file_named_here_';
if _n_ = 10 then stop;
From there, you have some options for importing the data, depending on the file-layout and field-delimiter structure. Suggest you look at SAS PROC IMPORT and also the SAS DATA step approach (more control, but requires more coding). The SAS Support http://support.sas.com/ website has SAS-hosted Documentation and also supplemental technical / conference papers on this type of topic for your reference.
If you are on a Unix/Linux system, gz files can be read in using a 'pipe' type of filename statement. Using a pipe you can use the file directly and do not have to unzip the file on disk to use it. This technique also works with .zip files.