Install the rpmforge-release package as directed here: http://dag.wieers.com/rpm/FAQ.php#B
Then type (as root) something like:
yum clean all
yum update mplayerplug-in mplayer-skins
The mplayerplug-in is nice for playing Internet audio/video files and will automatically add mplyaer to the install process. Mplayer is really good at playing audio CD and DVD media but you do want to install some extra codes, get these from http://rpm.pbone.net/
your searching for;
Download the two rpm packages then install them by typing: rpm -ivh mplayer*.rpm
You have other choices like xine for example and can be installed via yum now.