Mercurial may not be present in default repo that comes with a fresh Centos 5 install. Adding RPMForge repo should solve the problem. I will copy paste necessary section from Centos wiki:

Download the rpmforge-release package. Choose one of the two links below, selecting to match your host’s architecture. If you are unsure of which one to use you can check your architecture with the command uname -i

for i386 :

wget http://packages.sw.be/rpmforge-release/rpmforge-release-0.5.2-2.el5.rf.i386.rpm

for x86_64:

wget http://packages.sw.be/rpmforge-release/rpmforge-release-0.5.2-2.el5.rf.x86_64.rpm

The preferred rpmforge-release package to retrieve and to install in order to enable that repository is one of the two listed above.

Install DAG’s GPG key

rpm --import http://apt.sw.be/RPM-GPG-KEY.dag.txt

Verify the package you have downloaded

rpm -K rpmforge-release-0.5.2-2.el5.rf.*.rpm

Security warning: The rpmforge-release package imports GPG keys into your RPM database. As long as you have verified the md5sum of the key injection package, and trust Dag, et al., then it should be as safe as your trust of them extends.

Install the package

rpm -i rpmforge-release-0.5.2-2.el5.rf.*.rpm

This will add a yum repository config file and import the appropriate GPG keys.
Then try to install something like this

yum install mercurial

it is done.