Double clicking on rpm pakages gives me this
 

There is no action associated with "binutils-2.14.90.0.6-4.i386.rpm".

Right click on an rpm, go to Open With, then Other or something like that.
Then in the first half of the dialog box, where it lists menu choices for "Open With", select the one that says "Install Applications" (or something like that).
Modify its properties to set it as the default.
Hit ok a few times, then double click an rpm again. Should ask you for root password and install.

or use the trusty command line...

http://www.rt.com/man/rpm.8.html