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Introduction to Linux - A Hands on Guide
This guide was created as an overview of the Linux Operating System, geared toward new users as an exploration tour and getting started guide, with exercises at the end of each chapter.
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Let's review the ways to install new software into a Linux distribution such as Red Hat 9. First, you have the binary packages included on your distribution's CD-ROMs. Absent a compelling reason to the contrary, that should be the first place you look, because they're guaranteed compatible with your system, cryptographically signed by fairly trustworthy people, and are made easy to install. In this case, very likely you already checked, and found that Xine isn't included in your distribution.
Second, there are third-party repositories of software precompiled and packaged (by sundry individuals) for your particular distribution. E.g., the http://freshrpms.net/ repository has collections for all major distributions (and specifically for their individual releases) that use the RPM package format. Warning: Be careful about which collection at that site you draw from. Don't install an RPM designed for Mandrake, SuSE, Conectiva, TurboLinux, etc. -- just ones for Red Hat. (Yes, you can sometimes get away with those others, but don't try.) Don't try to install an RPM compiled for the DEC Alpha or PowerPC processor, given that you're running RH9 for x86. It's even best to stick to packages intended specifically for RH9, rather than for RH8/7.x, Fedora Core, etc.
Third, for a while longer, you can get package _updates_ from Red Hat via its "up2date" program, pulling packages from the Red Hat Network updating service. This is a very worthwhile facility,
Fourth, you can use tools to acquire and install packages from repositories such as FreshRPMs smoothly and automatically, taking care of "dependencies" (required packages needed to make the desired package work), using package-handling tools such as yum and Conectiva's port of apt-get to RPM.
Last, there are of course source-code tarballs (.tar.gz archives), which you can with varying amounts of effort and frustration compile and install. Note that unless you _also_ master the arcane art of making your own RPM archives from source (writing the "spec" file contained therein, which controls the RPM build process), your package-management system won't be aware of the software's presence -- a disadvantage. Compiling from source will therefore be usually a last resort relative to the other options, for any properly lazy sysadmin.
Therefore, I recommend that you start at http://freshrpms.net/, the FreshRPMs site. It has everything you need to get started.