You install packages on Read Hat using the RPM. Ofcourse compiling from source or installing a tarball is a posibility but a bit harder.
I found this link on google: http://www.rpm.org/max-rpm-snapshot/rpm.8.html
but I bet there are a lot of information out there.
I guess for the partition sharing you might want to look into SMB if your Red Hat and Windows are on different hosts.
Someone else might have some better links but there is a ton of great guides around.