Thanks all. Turns out I didn't have any problems at all. I just ran
this command, all rpms together as Devrim Gunduz suggested -
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rpm -Uvh postgresql-8.2.9-1PGDG.rhel4.i386.rpm
postgresql-contrib-8.2.9-1PGDG.rhel4.i386.rpm
postgresql-devel-8.2.9-1PGDG.rhel4.i386.rpm
postgresql-libs-8.2.9-1PGDG.rhel4.i386.rpm
postgresql-server-8.2.9-1PGDG.rhel4.i386.rpm
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Database working in tiptop condition :)