Making it all work in Kubuntu

Well, I installed Kubuntu yesterday and while the music stuff works great and it's better than windows already I still don't have all my videos playing or subtitles showing.  In one case I have wmv9 videos that don't play, in another it's just the subtitles not showing on an mkv file.  Anybody know how to make it work?

>>7
I don't even know what I have done - I downloaded MPlayer and did various things and then when I opened files they worked.  The only things left not working are 1)the raws in WMV9 and 2)subtitles in MKV format.  Maybe it's because they're opening in Kaffeine, but if that's the problem how do I get them to open in MPlayer instead?   

Being that there is no "installer" or even a bin file, how do you "install" MPlayer?  This is one of the things that's confusing the hell out of me about linux - on MPlayer's page they say you should type "make install" but where?  And is that ALL you have to type?  From my DOS days I remember installing things but there was usually even then an executable installer or at worst I had to make some directories.

For that matter, how do you even RUN MPlayer?  It's not like you open it and choose a file, as there is no "it"(GUI or even executable) to open!