First of all, WELCOME TO LINUXQUESTIONS!
YES, THERE ARE ANOTHER WAYS! AND EASIER!!
Use the menu: go to System->Administration->Synaptic (I'm guessing here, because my Desktop is not in English). It may ask you for your password.
At your left, you'll see a list of categories, and at the right two things: the packages in that category and a description (if you select a package). So, browse for xmms, right button, mark it for install and then use the "Apply button" in the toolbar (Sorry, I just hope my system looks closely enough to yours, but if not, you should be able to manage... you have been doing harder stuff!).
If the packages are in the CD, Synaptic will ask for it, and if they are on the internet (*), it will fetch them (and everything is needed to) and install. You only have to wait some minutes...
(*) For this to happen, you have to tell Synaptic to search in the correct Repositories. If I recall correctly, when I first installed Ubuntu, it only looked at the packages in the installacion CD. To have more repositories, you can use the menu of Synaptic: Configure->Repositories and add them (follow your instincts here... if you get stuck, just come here and tell us). If you add the "Universe" repository, I'll recommend you to remove/deactivate the one that uses the CS (not universe), because if not then you will have a lot of things twice (I have things like that and it does not hurt, but at the end I always select to install from the "universe" repository, because it is easier to download than look for my Ubuntu CD).
In the same menu (System->Administration) there is another item. Mine says something like "Add Applications". It is another tool that allows you to do the same thing. It looks prettier, but it is less powerful (you will notice that with synaptic you can SEARCH for things, while with the "Add applications" tools you have to browse the categories by hand).
After a while you will find that running synaptic is "slow". You won't want to leave the command line and run an application just to install or update/upgrade your system. Well, just let me tell you that that's possible, using the "apt-get" tool
I hope this helps you. Let us know if not!