Installing software onto Linux Red Hat 9

[sam_o_neill]

I am a new user to Linux and I found that it is very very different to Windows which is what I usually use.
I downloaded the special Linux version of Real Player onto my computer but when I click on the file to start the installation it does nothing....on the site it said something about having to make the file executable first but I have no idea how to do it...

and does anybody know of a way that Iwould be able to get my .wmv files to work with Linux????

Thanks for any help
Sarah