Check out the xmms mp3 plugin page
HERE to get the rpm which will enable xmms to play mp3s.
When you've got it, log in as root and execute :-
rpm -Uvh <name of rpm file>
As for making mp3 files play automatically when clicked on, it depends on what desktop you use. You need to change the mime type application preference order for mp3.
I personally use KDE and for this you need to do the following :-
Bring up the control centre. Click on KDE Components -> File Associations
In the known types, select audio -> x-mp3
You should see in the application preference order the entry "Audio Player" which, by default in RH9, is xmms. Just move this to the top. If there isn't an entry there, just add one with the execute line being :-
xmms -e %F
That should do the trick.
GNOME should just be as easy.