From rpm.org "The RPM Package Manager (RPM) is a powerful command line driven package management system capable of installing, uninstalling, verifying, querying, and updating computer software packages. " I think it originally stood for "Redhat Package Management" but is now also used by many other distros.
You can find out more about Red Hat 9 specific in their online documentation
(look down until you find "Installing RPM Packages" and "More About RPM". Or perhaps even more useful for you would be their guide for using their visual tools
Truthfully its been a while since I've been on a Red Hat system, but I remember thinking it was pretty slick. Mandrake also has a very sexy tool that does this sort of thing really easily.