Does the cd-player application give you an error, or does it play but no sound is coming out, or what is the exact problem?
Software can be installed in various ways. One way is to download Fedora .rpm packages, and if you've got every package that is needed in order to install the downloaded one, simply double-click on it to start the installation. One other way is to use yum command from the console (terminal emulator):
yum install applicationname
For Yum you'll probably want to add some other reposities ("package warehouses") to get more software, but if you'd like to do so, please search LQ and Google - it's covered there.
Please be a bit more specific. Using commas and dots also might help making yourself more clear.