On many Linux distros it can be a bit harder (a few simple console commands rather than a double click on the installer) but on Ubuntu you can usually get most of the software you need off of the package manager (synaptic) which is much easier than installing things in windows.
In Synaptic Package Manager the install process goes like this
1. Open Synaptic
2. Search for the software you need
3. Select that piece of software
4. Let Synaptic select the software that is required for that software to work for you.
5. Click Apply
VLC player is fairly easy to install, (I'll check in a bit if it can be installed through Synaptic) It most likely just requires a console command to compile it which is easy to do once you learn how.
On the other hand you can't install software on a Live CD given that the "HD" in a Live CD is Read-Only, which may have been the problem.
Totem by the way (the movie player that comes with Ubuntu) is about as good as VLC by the way.
Ubuntu can support .mp3 and all the other codecs just not by default. When you try to it should give you some easy steps to install them if you want them though.
The reason that they are not supported by default is because Ubuntu is trying very very hard to have absolutely nothing proprietary in Ubuntu by defualt so proprietary formats like .mp3 aren't supported by default. (this is also why many graphics cards don't work by default until you let the Proprietary Drivers Manager install the drivers for it).