I installed RedHat 6.2 on a clean system. Try to run "startx" to start XWindows and I get the following (3 times): xauth: error in loading shared libraries: libXmu.so.6: cannot open shared object file Looking at /usr/X11R6/lib I noticed there was no libXmuso.6.0 file so i copied it from /usr/i486-linux-libc5/lib, and set up libXmu.so.6 as a symlink to point to it. This didn't help.
libXmu.so.6 is part of XFree86-libs. Make sure you have installed that package. You might also want to run ldconfig to ensure the symlinks are in place. (We can't reproduce the problem of libXmu not getting installed automatically anywhere.)