Picked up a used Samsung Galaxy Player 5.0 on Ebay for a good price. I want to root it to load DroidWall, etc.

You can find a great tool to do this with called SuperOneClick (it'll root a lot of different Android devices) at http://shortfuse.org/.

I've had so much problems with getting this to work.

The last round of challenges was that it kept stopping at "Shell rooting device...- Step #5". No explanation. Nothing. Just hangs.

Finally figured out the problem. There are two files in a directory called Exploits. If you extract these files with your AV running, they will get deleted! So...turn off your AV. Download. Extract. Run and you should be happy.

Lots of information here too - http://forum.xda-developers.com/showthread.php?t=803682