You just have to install mplayer and a few codecs. The mplayer package has a script to install the needed codecs.

~$ apt-get install mplayer
~$ /usr/share/mplayer/scripts/binary_codecs.sh install

To play a .rm file, type:

~$ mplayer http://some-url/file.rm

When using a playlist, you must add "-playlist":

~$ mplayer -playlist http://some-url/playlist.ram