A symbolic link is a special link to another file (or directory). A normal (hard) link is an actual link to the same file - you can access it from whatever directory path you have it linked in, as if it were actually, physically in that directory. A symbolic link is an *indirect* link; it is a pointer that basically tells the system, "the file you want is over *here*".
Your PATH is an environment variable (more terms
) that holds a list of directories your shell will search through to find commands you give it. It typically contains entries to "/bin", "/usr/bin", etc. (You can see the contents of your PATH variable by typing "echo $PATH" at the command line.)
For your specific question, you should make sure that you make a symbolic link to realplay in "/usr/bin" (or some other directory in your PATH) so that when you try to run realplayer it will find it and run it.
Edit: Do a "man ln" from the command line to get more information about using links.