To help you get the most out of (K)ubuntu, be sure to enable Medibuntu as a source for packages. This will allow you to easily play those wmv files and DVDs on Linux as well as most other multimedia that use proprietary formats.
The steps for setting it up involve running three commands (Details here)
For me, it was a matter of running:
sudo wget http://www.medibuntu.org/sources.list.d/hardy.list -O /etc/apt/sources.list.d/medibuntu.list
sudo apt-get update && sudo apt-get install medibuntu-keyring && sudo apt-get update
sudo sed -e 's/ non-free//' -i /etc/apt/sources.list.d/medibuntu.list