I used YUM to install MPlayer on Fedora Core 3 Linux and it seems to be working right now but I need to install the "essential codec pack" to support .wmv and some other file extensions.

Here is the download location Link

I don't exactly know where MPlayer is installed so I tried this command...
My question is how to I take this file I download "essential-20050216.tar.bz2 in /home/carlos and install it? I am not very good with CLI so if someone could walk me through step by step commands, that would be really nice. I hope I provided enough info here to help me and I am sorry if I missed anything.

The codecs in mplayer are added only on compilation time. By using yum and installing a pre-compiled version of mplayer you cannot add codecs. Use those instruction and compile mplayer by yourself:
http://www.mjmwired.net/resources/mplayer-fedora.shtml
You need the development packages to compile something. If you haven't done a full installation or haven't picked them manually when selecting packages (gcc, make etc) in fedora instalation you don't have them. Use the add/remove packages utility to install the development packages from the cd, or use yum (i've never done it through yum).

Another option is to use Xine. If xine is installed (i think it is by default) then add the mplayer codecs, after u uncompress then in /usr/lib/win32. You may need to use the options tab in xine to specify the path or alter your .xine/config file which is created the fist time you execute xine, and uncomment the bold line:
# path to Win32 codecs
# string, default: /usr/lib/win32
#decoder.external.win32_codecs_path:/usr/lib/win32
but this path is the default xine win32 path.

But in mplayer you cannot do that after you compile it.

*EDIT*
I would advise you to use the all codecs package from mplayers download page:
http://www1.mplayerhq.hu/homepage/design7/codecs.html

once you put the codecs in /usr/lib/win32 ( you'll probably have to create that directory), xine based players will play anything that mplayer will. I personally believe mplayer is a more powerful program, but you have to be willing to read all of the documentation ( there is alot of it on their site) and spend the time to set it up how you want. if you just want to play movies/music ( including wmv's and such) go with a xine based player after you extract the codecs to /usr/lib/win32.

if that dir doesnt work
try
/usr/local/lib/win32/
or
usr/local/lib/codec/

/usr/local/lib/win32/ was the default for my compile without flags
i think usr/local/lib/codec/ was for an older ver of mplayer

I just installed mplayer on my machine, i created the codecs dir and pasted all the codecs in there compiled the mplayer and all works well on command line, u need to compile with a gui command to enable gui support. Tip is to pasted codecs in both recommended codecs dir so that mplayer will defo see one of the dir and delete the one it never uses later

So from what I understand from "Perfect Circle's" post is that since I installed a pre-compiled version of Mplayer via YUM, I am not able to install the directory or the codecs...?

Yes. You need to compile mplayer again with the codecs already installed in /usr/local/lib/codecs by default, or in another directory, as long as you specify it when you use the ./configure to compile mplayer. Xine has /usr/lib/win32 as default path for windows codecs, and you can add/remove codecs in xine without compiling it again. I use both (xine and mplayer), so I have a link from one codec directory to the other. The problem is that we do not know with what options and codecs mplayer was compiled, since you have a precompiled version. Maybe the codec mplayer was compiled with are included in mplayer, but i don't know. You may try to umcompress the codecs package u downloaded and put the codecs in /usr/local/lib/codecs, but i doubt that this will work.

you do not need that...Thats why soft links were invented