The .RM file is the actual video file. Option-click (or ctrl-click and select "Download Linked File") the link to it. {That'll work as long as there's a true link to the file on the webpage.}
The first time you run RealPlayer, it should give you a message about needing to configure your system (browsers) for internet playback. Be forewarned that it will close and quit any open browser windows if select yes. Have you done that yet? If not, launch the RealPlayer app from your Applications folder and try clicking on ok when that dialogue pops up.