Xenomai uses a dual kernel approach (based on I-Pipe): xenomai applications are linux kernel modules.
Knowledge of the Linux kernel modules mechanism is needed to understand how Xenomai RT applications are loaded in kernel space and work (remembrer: this strict distinction between RT and non-RT applications is needed in order to use HLP). If you need more information about Linux kernel programming and kernel modules, read something about Linux kernel modules and look at this example.
RTAI is another real-time solution based on Linux, using a dual-kernel approach like Xenomai.
You can use RTAI on x86 PCs (but it does not support the POSIX API); have a look at RTAI documentation for more information. Here are some instructions about running a simple RTAI test. To follow the instructions, you need some initramfs scripts and a kernel configuration file.