I would suggest you start here (http://ubuntuforums.org/showthread.php?t=766683). You need to install the codecs for playing different music files. Because many of these are proprietary they are not pre-loaded. Don't let it intimidate you - it really is easy. I'll outline the steps (just to help make it easier for you and show you the basics - how to do this is all in the tutorial) and if you have any problems post back.
Install the medibuntu repository: Open a terminal and type or cut and paste the following:
sudo wget http://www.medibuntu.org/sources.list.d/hardy.list -O /etc/apt/sources.list.d/medibuntu.list
Install the Ubuntu Restricted extras from menu>system>administration>Synaptic
wget -q http://packages.medibuntu.org/medibuntu-key.gpg -O- | sudo apt-key add - && sudo apt-get update
Install the various codecs from the command line- this is done in one step from the command line - you copy and paste all of this into the terminal:
If you need other codecs (say you want flac - then do a search in synaptic and install from Synaptic. If it is not in Synaptic then search the forums - there is likely a method posted on how to do a particular codec install.
sudo apt-get remove icedtea-gcjwebplugin openjdk-6-jre openjdk-6-jre-headless openjdk-6-jre-lib && sudo apt-get install alsa-oss compizconfig-settings-manager faac faad flashplugin-nonfree gstreamer0.10-ffmpeg gstreamer0.10-plugins-bad gstreamer0.10-plugins-bad-multiverse gstreamer0.10-plugins-ugly gstreamer0.10-plugins-ugly-multiverse gstreamer0.10-pitfdll liblame0 non-free-codecs sun-java6-fonts sun-java6-jre sun-java6-plugin unrar
This is really all you need to play music. If you want to add support for mplayer in firefox etc then follow the rest of the tutorial.