Ok great. Finally got RedHat installed and running. Now I heard of a thing called WinEX for running Windows applications like my gmae Half-Life. I know you can run a Half-Life dedicated server in linux but I hear you can actually play the game using WinEX. Could someone help me to get, and install this app?

Yes well I don't play games under linux, and didn't know what WinEX was until you mentioned it. After a swift search on google, i have found that their webpages is:
http://www.transgaming.com/
For the record, it is not WinEX, it is WineX. Wine is a famous windows emulator written for linux, and apparently WineX is intended to run DirectX applications.
I can see that you are using Redhat, so installing it with rpms shouldn't be a big hassle. Unfortunately they require you to be a subscribe in order to download it. I have found some rpms for Redhat 8 but I don't think they would be useful in such a delicate subject.

and in any case, regular wine is very much so capable of running half-life as i play all the time , well counter-strike, but same thing .... so if you don't subscribe to winex, or if you do not download the CVS (free, unsupported) version of winex, and you end up settling with regular wine, which is completely free, then just know that half-life runs flawlessly in regular wine..

Normal wine is just as good for running most things anyway, sometimes i heard that it doesnt work and winex does i havent looked into winex really coze i havent had problem with wine yet.