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If you cd into that directory there should be some install docs. Like INSTALL or README or a docs folder. Try reading what is in there or look at the online docs here: http://www.mplayerhq.hu/DOCS/#installation
I have to download the file first on my XP machine and then moving to Redhat machine. But when I am trying to download it is saying not a win file. So let me know I have to download it directly on the Redhat machine or I can first download on XP and then copy to the Redhat.
It seems very difficult to install a software on Redhat as I have trying to install it for last two days but still no success. Is this all becuase I am quite new without any knowledge of Redhat or it is really difficult for everyone.
The size of gcc is 18.5MB which will take few hours with me due to slow link. After downloading the file and will try to install it and will let you know about the results.