How to install third party software in Linux using yum??

I dont think so, YUM is meant for YUM or YUP can only be used with RPM compatible Operating System for installing RPM packages, however you can also use YUM with operating System other than RedHat or Fedora as of now few more Linux distribution started supporting YUM.

like SUSE Linux 10.1 adds support for Yum repositories in YaST

I have some rpm package other than provided in Redhat Linux,like mplayer,wine etc.so whenever I try to install this packages through #rpm -ivh command it gives error of dependencies,so I asked that is it possible or any way to install other rpm packages through YUM??

Make sure your root is unlocked, u can do this by login using root user. Now try the folowing:

Yum install wget ignore if already did this before.

Yum install wine

wget -c http//easylinux.info/uploads/msttcorefonts-1.3-4.noarch.rpm

mkdir -p /root/.wine/drive_c/windows/fonts/
cp /usr/share/fonts/mttcorfonts/*~/.wine/drive_c/windows/fonts/

also you need to make sure epel repository is enabled.

Same way you can upgrade your existing version of wine using following:
Yum --enablerepo=updates-testing upgrade wine

please do reply if this work with your Rhel dirtro..

I dont think the above work with RHEL4/5, might work with Fedora.
If you are getting error related to Resolving dependecies in case of mplayer, then problem may be due to unregistered yum. Yum wil not work unless you registered and pay the fees of RHN.

So if its only for listening to muzic, use Real Player, it works perfect in RHEL5.