Should it really be this hard?
All I want to do, is play WMA video on my Ubuntu machine, but I keep hitting brick walls.
The default Totem player doesn't want to know, VLC has a crack but I just get the audio, the closest I've got it Keffeine MPlayer, which is asking for codecs.

Codecs? fine I say, I'll download them... done
Extract them... done
Move them to the stated /usr/lib/win32 directory.. no such folder.
Create folder... Nope bugger off, no permission.
<sound of hair being torn out>
Tentatively open Terminal, and type the only commands I have learned './configure' and 'cd usr/lib/win32'
Give up, too hard.

Can anyone please get me past this stage? I'm sure it shouldn't be this hard, or should I look forward to this in Linux?

You need root permissions to create the directory. On Ubuntu, you would do

Many thanks for that, it worked perfectly.

I have another question though, regarding a 'C Compiler' which all the installations so far have asked for, and failed as I don't have one.

Where can I get one from, and which one should I get?

Thanks in advance.

You need to install gcc using apt-get or synaptic. You can also install a package called build_tools (not sure if the name is correct but its something like that) and this installs most software needed to build packages from source.