XFree86 is the project that develops the Gui for linux. X is for X windows, Free is for freedom-based software developement, and 86 is for x86, which is the regular pc platform, you know 386,486,586, amd pentium-class computers. However it has been ported to many many other platforms now.
It is also the name of a executable that is commonaly used to configure things... It's part of the X Windows package.
If you have X windows installed, and I assume you do since you are running Redhat, and you can tell for certain if you are looking at anything other than a generic command prompt black and white screen. If you got windows and graphics in Linux then you have X installed.
The trick is this. If you su into root to install the nvidia software, then sometimes the $PATH gets mangeled. The PATH is what is know as a enviromental variable, it's what used by the comand line shell to set up your enviroment, like if ls has colors, the hostname, and what the prompt looks like. all these things are setup using enviromental variables. Type 'set' to see all the variables... Type 'echo $PATH' to see the PATH variable. It is what is used by the OS to find your executable files. Before you start the script to install nvidia you need to do 2 things....
Make sure that you can find xfree86. Type in "XFree86 --verbose" and you should get a reply. If you don't get a reply and it says it can't find the XFree86, then try "export PATH=$PATH:/usr/X11/bin/"...
(keep in mind that linux is case sensitive, so xfree86 is not the same as XFree86, which is what i am assuming you ment)
The second part is You must not have X running! The installer with poop out a error if you do. In Redhat I am not smart enough to know a good way to disable X, if you have a graphical login screen and hit ctrl+alt f1 (f1 thru f6 usually) that isn't good enough. Try "telinit 3" that may work, then run the script logged in as root.