Its all about getting used to an OS. Spend some time and explore it.
About realplayer, right click on it=> properties=> give execute permission to the owner and then click it. U shud do that as root.
Or simply open the terminal in the directory containing that 'realplayer" file/setup and follow the simple commands.
1. "chmod +x RealPlayer10Gold.bin"
2. "sudo sh RealPlayer10Gold.bin" or "sudo ./RealPlayer10Gold.bin"
3. Ur done!
Also see this
http://ubuntuguide.org/wiki/Ubuntu:Feisty
And use the "add/remove" thing in the "application" menu to install softwares!