most distros will have mplayer available on an installation disk or something, which is the install method i would recommend. i'm not sure how fedora works, but you should have a package manager tool somewhere. if that doesn't work, then try right-clicking the link at MplayerHQ and saving it to disk. to install from source, change to the directory you downloaded to, and type
tar -xvzf name-of-package.tar.gz
and that should get you up and running. installing from source can be difficult though, and you may very well get dependency problems, which is why i highly recommend using the package manager instead.
however, once you get mplayer installed, one way or the other, there's a standard codecs package you can get from MplayerHQ, and if you go to www.google.com/linux
and type in libdvdcss you should be able to find the css codecs too, which will let you play dvd's once you install it.