Installing GeoIP on CentOS
Seems like you need to add an additional repository. In CentOS5 the Geoip stuff was located in Centos Extras. Check out this link: http://wiki.centos.org/AdditionalResources/Repositories
If the package is not in Extras try out the EPEL repo (howto is in the link above), they have the packages: http://dl.fedoraproject.org/pub/epel/6/x86_64/repoview/letter_g.group.html
Expanding on the accepted answer above by @zaub3r3r - (Sorry I don't have enough rep to comment here)
GeoIP is in EPEL. You might have it but it may not be enabled - if this is the case then try:
yum -y --enablerepo=epel install geoip
This had me stumped for ages today until I realised what was going on.