This is a VFAQ .... a *Very* Frequently Asked Question - it's been answered lots of times on this forum; I've responded to at least two of those threads myself; eg see
here.
I'm guessing you're using a Linux distribution that comes with a video player, but without the libraries (aka codecs) required to play encrypted DVDs or WMV files.
These libraries are easily available on the web, but are excluded from most distros for licensing reasons.
If you want to install them anyway, there are two separate codecs you'll want to install - one for CSS-encrypted DVDs, and one for WMV files. It's a simple enough process, unless if you're using SuSE Linux, in which case you'll have a few extra hoops to jump through, but with most other Linux distros, you should just be able to download and install the codecs and everything will just work.
To get a copy of the codecs and instructions for installing them, try googling for something like "linux dvd codec". You should get plenty of results