If you are really a complete and utter idiot, then I doubt if we can help you....
First, what package system does Mandriva use? eg RPM, APT
In general, there are several ways of installing Linux SW:
1. The package manager that comes with the distro. Most simply, you'll find something in the menus with a name like "install software". You can also use your package manager from the command line. (Examples of this once we know what your system uses)
You package manager will either fetch SW from a repository or operate on files that you download
2. Download a file (uncompress as required) and run an install script.
3. Download a file and compile on your machine (not as hard as it sounds)
To use your Realplayer example, what is the format of the file that you downloaded? If it has suffixes like .tar .gz .tgz, etc. have you uncompressed the file? What do you have after uncompressing?