You need to tell us which version of Linux you're using when you ask a question, because they all have different ways of doing things.
In the case of codecs for media files, some distros don't put them on the installation disk because they are patented in the USA, so Americans have to pay for them. In practice, anyone who has a copy of Windows has paid. You've obviously got a Linux like that. If you had Ubuntu, it should have asked if you wanted them downloaded. Whatever you've got, try going to their website and searching for "media codecs" and you should find instructions on where and how to get them.