It doesn't look like you've downloaded the file yet, or you're not in the directory that you downloaded the file to, or the file you're trying to open has a different name than what's specified in the instructions. Do an 'ls', do you see the file there?
I was able to download the file and untar it successfully:
bryan@velouria:~$ mkdir test
bryan@velouria:~$ cd test
bryan@velouria:~/test$ wget http://www.franz.com/products/allegrograph/download/dist-sa/linuxamd64.64.4/agraph-4.2-linuxamd64.64.tar.gz
--2011-05-04 17:35:02-- http://www.franz.com/products/allegrograph/download/dist-sa/linuxamd64.64.4/agraph-4.2-linuxamd64.64.tar.gz
Resolving www.franz.com... 67.207.112.67
Connecting to www.franz.com|67.207.112.67|:80... connected.
HTTP request sent, awaiting response... 200 OK
Length: 84235718 (80M) [application/x-gzip]
Saving to: `agraph-4.2-linuxamd64.64.tar.gz'
100%[============================================================================================>] 84,235,718 708K/s in 2m 2s
bryan@velouria:~/test$ ls
agraph-4.2-linuxamd64.64.tar.gz
bryan@velouria:~/test$ tar zxf agraph-4.2-linuxamd64.64.tar.gz
bryan@velouria:~/test$ ls
agraph-4.2 agraph-4.2-linuxamd64.64.tar.gz
bryan@velouria:~/test$ ls agraph-4.2/
aclissl.so ag4-import.dxl agload.rc agraph-control agraph-recover.lic binary-license.txt convertdb gpl.txt sort-upi-map
ag3-export ag4-import.lic agraph agraph.dxl agraph-recover.rc checkdb convertdb.dxl install-agraph templates
ag3-export.dxl ag4-import.rc agraph-backup agraph.lic agraph-replicate checkdb.dxl convertdb.lic libacli8218.so www
ag3-export.lic agload agraph-backup.dxl agraph.rc agraph-replicate.dxl checkdb.lic convertdb.rc liblzo2.so.2
ag3-export.rc agload.dxl agraph-backup.lic agraph-recover agraph-replicate.lic checkdb.rc doc locales
ag4-import agload.lic agraph-backup.rc agraph-recover.dxl agraph-replicate.rc configure-agraph files.bu sendfd.so
bryan@velouria:~/test$