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I agree. It's a RealPlayer "jukebox" file. You would need the Realplayer app to open (or convert) that old file (and it is a Windows-only app )
According to references for older files, that is apparently a "protected" file - perhaps password protected, or at least a limited access file. (Not sure what that exactly means if you simply found a random .rmx file somewhere)
It MIGHT play in VLC, although there's nothing definite about that. If you already have VLC, you can try dropping that .rmx file on top of VLC (which will cause VLC to try playing, or importing/converting that file). You will quickly get some kind of error message if VLC can't do anything with that file.
But, there IS an app from RealNetworks, called RealTimes. There's a download for that for your Mac. Unknown if it will do anything with that old .rmx file, but might be worth trying. I'm pretty sure you can try out RealTimes without needing to pay for it - but the paid version MIGHT convert your file (the support information for that is not too clear)
 
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