ubuntu does not come with much multimedia functionality because of legal issues so you may find that many files do not play. To fix this, you need to install some codecs and players form the restricted section. To do this, first follow the post "How to add Extra Repositories".
Open the terminal and enter the following in without quotes and answer "Y" to all the questions it asks.
"sudo apt-get install w32codecs totem-xine totem-xine-firefox-plugin libxine-extracodecs libdvdcss2 flashplugin-nonfree msttcorefonts banshee streamtuner xmms skype realplay f-spot sun-java5-plugin"
Once installed, you should have as much multimedia functionality as Windows minus DRMd files.