Most sound files are played with the KStartMenu > Multimedia > XMMS application. These files should play automatically when you click on a file or on a web link to such a file.
Real audio and video files and streams play using the KStartMenu > Multimedia > RealPlayer.
Most video files and streams can be played with the KStartMenu > Multimedia > xine application.
Windows Media Player 9 files can not be played by MEPIS because the Windows EULA prevents redistribution of the WMA 9 codecs. If you have MS-Windows you could copy the WMA 9 codecs from C:\windows\system32 to the /usr/lib/win32 directory, btu that would be wrong.
DVD movies can be played with xine. To play an encrypted DVD, you need the libdvdcss package. This package is not included with MEPIS because in some jurisdictions it may be illegal to watch DVDs on a computer running Linux. You can download this tiny package for yourself with Synaptic, KPackage or apt-get.