Well you'll need 3 basic players to play everything as far as I'm aware....Quicktime, RealPlayer, MS Media Player. With those three you should be covered.
As for converting a RM to other stuff. It kinda can be done..essentially you have to record the screen of the RM and the audio then merge them back into an AVI.
One site that might have all the recommendations for stuff you need would be
www.vcdhelp.com
Its a site devoted to the making of Video CDs but also is useful in general for howtos and programs for doing the very stuff your asking about.