What he means is software to play mp3 files and such. We need more information about your distribution you are using before we can give you some anwsers.
./ is commonly used to execute a file that is in the same directory as you're currently in. Say you are in /home/test and you want to execute file 'testfile' then you would type ./testfile
How to use make depends on the software you are using, mostly you will be using this three commands in this order to install software.
Make sure you're running make install as root. You can also use sudo on it if you're not yet root: