On CentOS Linux (and may be others), the easiest way to enable mp3, rm, and other proprietary media support is to install mplayer (you'll need to have the rpmforge repo configured):
# yum install mplayer
I don't like the default skin though. So I installed the mplayer skins package:
# yum install mplayer-skins
After installing the skins package, I opened the mplayer skin browser and bang! No skin except the default one was available!! Research revealed that it's a small, but annoying, bug in the skins package which installs skins in a wrong directory. Check out details of this bug here.
Luckily, the resolution is very simple. All you need to do is execute this:
# cd /usr/share/mplayer/skins/
# ln -s ../Skin/* .
After executing these commands, restart mplayer, launch the skin browser and it should have a fairly long list of available skins listed. That's it!