sounds like you don't have gnorpm installed, either install that or you can do it at the command line.
you must be root to install rpm's so at the command line , move to the directory when the rpm is with, cd /directory/where/the rpm/is. than type su, enter root's password, then type rpm -Ivh <filename>.rpm
thats a capital i , if a previous version was installed you could use a cap. u
I = install
v= verbose (prints what it's up to onscreen)
h= hash marks (prints hash marks onscreen to display it's progress)