You are using Fedora so I assume you are using Gnome. Open Nautilus, right click the file, choose "open with other application"...
If you are running KDE then open Konqueror, right click the file and choose "open with"
If you are using ROX then right click and choose "set run action"
To install a .rpm file CD into the directory that the .rpm is in
#rpm -ivh nameofrpm.rpm
# means that you will have to be root.
will give you the man page for rpm.
Kplayer is a nice front end for Mplayer if you want to open windows media files with just a double click from a file manager.
Real player does the best job playing real media files or streams.
There are also browser plug ins for both Mplayer and Realplay if you want to view content embedded in firefox. Mozilla will use the same ones. Konqueror can use them too.