I'm going to give some short commands to do this. If you have any questions, a simple Google seach or a `man rpm` will help you.
Compiling prgorams (e.g. tgz):
tar zxf application-name.tgz
Can be installed by double clicking them in RedHat, or using:
rpm -ivh program-name.rp
If you have any questions for RPM, do a
If you have any problems compiling a program, just read their Readme file.
By the way, the command to run the program you installed (winamp.rpm) is probably xmms