RedHat enterprise 4 or something? I thought the last RedHat was RH9, after which came Fedora Core 1-6, then Fedora 7 and 8..
Basically you just install a player, which usually means installing a backend (engine) and a front-end to control it. Then, if the media format is not supported (like mp3 is not out of the box because of what it says at their site), you get the extra library/codecs for the player/backend to enable it to play them.
The two main backends nowadays are Xine and GStreamer. Front-ends are, for example, Totem, XineUI or Gxine. Or you can use MPlayer (graphical front end is called GMplayer), or VLCplayer or something. Very probably you already have a player and a front-end installed, so you only need the extra libraries/codecs to support mp3 etc. For Xine the thing you need is libxine-extracodecs or xinelibs-extras or equivalent (I don't remember what RedHat calls it exactly), for GStreamer you want gstreamer-plugins-ugly, maybe -bad and some others. Install the rpm packages (or use package manager to fetch them from some internet reposity that has them), restart your player and have a nice time.