This is actually very easy. In your Fedora menu, go to Preferences -> CD Properties. In the dialog that opens, you can select an action to take place when a DVD is inserted. For instance, you could use "/usr/bin/gmplayer dvd://1" to play title 1 (which is nearly always the feature presentation on a DVD) when it's inserted. Remember that your mplayer will need to be set up properly; usually mplayer is set to see the DVD device as /dev/dvd, which does not exist in Linux. You can take care of this either by resetting it to /dev/cdrom, or making a link called /dev/dvd which points to /dev/cdrom. Have fun!
P.S. While I agree the Linux desktop is still in need of a little work before it has the ease of use of some other products for "Average Joe," it has come very far, and forums like this make it easy to learn more. Don't get discouraged so quickly; the answers are out there!