First of all, Fedora5 is pretty old - is there any particular reason why you're not using the latest version.
gtk and glib are most certainly in the repositories if they are not already installed. Install them through yum or Applications - Add/remove software. You only have to download/compile code in the rarest of occasion.
Second - XMMS is dead. It's no longer supported by a lot of distributions. You should still get it through - Applications - Add/remove though. If you just want to play mp3's take a look at fedorafaq.org
You have to drop the habit to google for applications. If one package you need is not in the repositories you should look for a repository that contains the package rather than searching for it somewhere on the web. Read the how-to-install-software section in the link above.
If it takes you more than 30 seconds to install something you're doing something wrong... Or you're using Slackware... which kind of falls into the first category :P