For your first question: a makefile is not meant to be executed directly. The Makefile is read by another program as instructions for compiling source code. Typically, the sequence for compiling and installing source code is like this:
1. Download the source code
2. Un-tar the source code
3. Cd into the source code directory
4. Run
./configure
5. Run
make
6. Run
make install <- need to do this as root
However, those are just general instructions. You'll need to check any README or INSTALL files that come with the software. They'll detail any specific steps you have to take.
For your second question: You probably already have xmms installed. At least, Red Hat 8 and Red Hat 9 came with it automatically. To find out, open a command line and execute
which xmms. If you get any text, then it's already installed. For Red Hat 8 and 9, you had to download an rpm to enable mp3 playback. Red Hat left it out for some licensing problem (don't remember exactly). Anyway,
www.xmms.org had the rpm to enable mp3 support on their webpage las I looked.
If you still need to install xmms. You can try compiling it from source, and posting the error you get if you run into problems.
If you want to install it via rpm, the basic command is
rpm -i rpm_filename
And that's applicable for the xmms package and the mp3 support (if you need to install it).