I needed to add the EPEL repository (Extra Packages for Enterprise Linux) in order to install some packages not available on plain Centos 5 server installation (like the polipo proxy). Based in what I found here, this is what I did:
rpm -Uvh epel-release-5*.rpm
For a Centos 6 there are some differences:
rpm -Uvh epel-release-6*.rpm
You now have much more packages available to install on your server!