Thats a lot of big questions
Question 1 & 4
The first one, you need to mount the partition windows is on.
mount -t ntfs /dev/hda1 /mnt/windows
replace hda1 with the actual partition, also it doesn't have to be /mnt/windows (But I'm stating the obvious again.)
for other devices change the -t option to the current one. details on your system would help.
Just a few points though ntfs support has to be built into the kernel or a module to work, also some distro's make it read-only.
BE VERY CAREFUL with ntfs as MS haven't released enough info for ntfs for the support to be complete so it can be dangerous to write to a ntfs partition as you could destroy its info.
To make things easier edit your /etc/fstab file and add the line
/dev/hda1 /mnt/windows ntfs user,noauto 0 0
so mounting simply becomes
this is similar for the other devices.
Question 2 & 3
For you the easiest files to download and install would be rpm files. Checkout a howto on rpm's.
To install on a console type
rpm -ivh theoneyoudownloaded.rpm
(I use debian so someone may correct me
To run games you'll probably need wineX
Simply point ot to the right device. probably /dev/cdrom at xmms will access the drive itself.