Ill try to answer some of your questions...
First of all, forget telnet and use SSH-connections. Telnet just isn't safe.
If openSSH is installed to the redhat server, which im quite sure, download putty.exe(use google)
and use it connect to your server.
In redhat you have this command line installer called RPM.
With that you will need pre-built packages that end with .rpm. Think them like .exe files in Windows.
Installing a package with root (think administator in windows).
Linux is a true multiuser system, so there are many users with different user rights.
rpm -ivh package.rpm
-i as in install, -u as in update and so on...
If you want to download package with command line, im not quite sure what you want to download, where and how, but one solution would using WGET like this:
-works fine with ftp and http
-wget will download the file to the current directory in use
you can make directories with command mkdir: