If you're asking those questions, you're probably not ready to start compiling and using your own custom kernels. Using kernels other than the one your distro comes with can be a pain, so if you want to upgrade (for whatever reason,) you're probably better off trying a distro that is more up to date (maybe look up a guide on how to upgrade to Debain testing.)
The file is red because the color helps you differentiate between it and other types of files or directories. This file is compressed, so you have to extract it by using this commandunzip (your file). Then you can go about compiling and installing it.
Why do you want to install a custom kernel? Debian stable has 4.2 in the backports repo.
Replace every instance in the commands of 'wheezy' with 'jessie' and everything should work.
Testing and sid are going through GCC and Perl migrations right now and recommending them is retarded.