I don't know what sort of download you have. Is it a .deb? Is it a .tar? I saw a tar available on freshmeat so that's what I'll explain. Realize that I have no idea what the file is actually named so I'm going to guess that it's realplayer9.tar.gz

Code:
tar xvzf realplayer9.tar.gz
cd realplayer9
ls
Have a look at the files. There should be something called INSTALL and/or README. Open them with your favorite editor. Follow the instructions for installation. Often (but not always) you install a gzipped tarball like this:

Code:
./configure
make
su
<password>
make install
make clean
You are trying to install this to a hard drive installation right? You can't install it to the cd.