New in Linux , can't play mp3 or movie file with Linux
 

I have installed Linux (Red hat Enterprise 5.3 and Ubuntu 9.4) , I have downloaded VLC, Mplayer tried to install this application with no success.Is there a linux os that has players and codec installed already , when installing.

You could say at which part You had "no success". It is advised to check readme files of the source package.
This might be helpful (it worked for me):
http://forums.animesuki.com/showthread.php?t=34230

Error 1 : Could not find libmad on your system (RedHat Enterprise 5.3) and Error 2 : Glib >=1.2.2 not installed - please install. When trying to install VLC.

In ubuntu open Synaptic software manager, search and install "ubuntu-restricted-extras". Or if you want to do it in command line, execute:
Give your user password when prompted. You can then enjoy all the restricted format media files.

For RedHat, I think its better to enable dag repo. See instructions here: http://dag.wieers.com/rpm/FAQ.php#B

After installing repo, update the system as root with . For Glib, if it is not installed as dependency, then may be may help.

Instead use the package manager to install the software directly.
On Ubuntu go to
System > Administration > Synaptic.
Give your password and search for vlc. Install it. Search for mplayer. Install it.

For RHEL5, if you do not have the paid subscription from RH, it is likely you wont be able to use yum. You will need to configure yum to use CentOS repositories to install packages.
On RHEL5 do as super user

yum install vlc mplayer

Thanks for your help guys , I think because I don't have internet access at home , I can't update that softwares/plug ins.

Exactly, you need internet connection to install software through yum or synaptic.