Why must people insist on running programs in linux by clicking on them. learn how to use the command line or you might as well go back to windows. open up the console
mplayer file opens up the file
mplayer dvd://1 opens up dvd make sure you have /dev/dvd symlinked to your dvd drive
mplayer vcd://1 same as above but you cdrom drive
now you could use gmplayer if you've enabled gui support. since it clearly states how to install in the instructions im not going to repeat it.