Mmmm, you sound like you're still working in the Windows mindset. In Windows, if you want to install a program you usually:
a) if it's free (and that's a _big_ "if") you can download it from their website, or by some other means.
b) if it costs money, you buy it, usually in an elaborate boxed set
either way, you usually have to obtain the software from its maker/vendor. While that can be done in the Linux world, most files that are found on the creator's website are the SOURCE CODE, usually in .tar.gz, or .tar.bz2 format (similar to .zip and .rar in windows.) From there, it must be "untarred" and you must execute a number of SHELL SCRIPTS to get the program to compile. "configure" is a common one -- the "./" works as follows -- "." means "current directory" and the "/" means "in the" -- so, "in the current directory, run configure." That script gets the program ready to be built EXACTLY ACCORDING TO THE WAY _YOUR_ COMPUTER HAS BEEN SET UP. It is for that reason many people prefer to compile programs. the "make" command then builds the source code into EXECUTABLE FILES that allow the data to be read in a format unerstandable by your computer. "make install" moves these executable files into a number of directories: a "lib" directory which contains important libraries used by the program (like .dlls in windows - they are NOT executed directly, but they are USED by programs that have been executed) , a "bin" directory, which contains executable files (files in this directory do NOT need to be executed by specifying the actual path, but they CAN be executed that way.) For example, to run the "bash" program, you can either type "/bin/bash" at a shell (such as "konsole," "xterm," "aterm," etc.) or you can JUST TYPE "bash" (because the 'bash' file is inside a bin directory)
However, all this is quite confusing, especially for newbies. That is why the PACKAGE was invented. Packages contain files that have already been compiled for you, and can be installed very easily. Unlike the source code, PACKAGES ARE USUALLY PROVIDED BY THE DISTRIBUTION YOU RUN. That is _the_ difference between windows and linux software. For example, if you want Macromedia Flash, you wouldn't obtain it from Microsoft, you'd obtain it from Macromedia. In linux, if you want mplayer, you _could_ get it from mplayerhq.org, but then it wouldn't be suited directly for your distribution. Instead, it would be better to get SuSE packages of mplayer. There are many ways these RPM FILES (Redhat Package Manager files -- many distros that are NOT red hat use this, such as SuSE) can be obtained. One popular way is to visit a site such as www.rpmseek.com
Search for mplayer, and make sure you get the SuSE RPMs. Unfortunately with SuSE, that is really the only viable method. Once you have that RPM, as always, there are many ways it can be installed. With SuSE, it should suffice to just click on the file in Konqueror. YaST will then start up, and it will aid you in the installation. Remember, packages are how you will install most applications. Very seldom will you use installers (like setup.exe's in windows). This means that every program you install (that you haven't compiled yourself) WILL BE INSTALLED IN THE SAME MANNER. Usually with SuSE RPMs, the RPM will create a link in your K menu. However, in the case of mplayer, it can also be executed by using the command "mplayer" in a terminal, or "gmplayer" which will launch a gui version.
Unfortunately, there's more. With SuSE and other distributions that don't use a very good advanced packaging tool (such as DEBIAN'S APT) you may have to occasionally deal with errors called DEPENDENCY ERRORS. This basically means that the package you're trying to install will not be available to be installed until another one is installed first. For example, if you found this great frontend to giFT, for example, called "Apollon" you may download the RPM for it. You try to install it, but YaST tells you that there has been a dependency error, and that giFT needs to be installed first. This may sound frustrating, but it makes perfect sense. If you were trying to make an omelette, and you had no eggs but only mushrooms, it wouldn't be much of an omelette, now, would it? Advanced Packaging tools (such as APT, YUM, etc.) actually hunt down dependency errors for you and resolve them 'automagically'
When you get more proficient with Linux you may want to manually set up APT-RPM for SuSE (albeit it'll not be as convenient as with DEBIAN or ARK LINUX or any other distribution that has apt set up as a staple.
Upgrading your system is a painless procedure in SuSE, however. You can simply do it from YaST. It is a rare finding these days, to see a distribution that does NOT provide tools for upgrading.
Anyway, I hope that helps... and I hope that long post didn't confuse you too much.