That's just the generic message for when you don't have DVD playback software installed on your computer.
Normally if you have a DVD drive (or a computer that came with one) it'll come with a software DVD player (Cyberlink PowerDVD, Intervideo WinDVD, etc...). Check whatever came bundled with your computer/DVD drive.
If you don't care for Windows Media Player playing your DVD's may I suggest these two freeware alternatives
- Media Player Classic Home Cinema: http://mpc-hc.sourceforge.net/
(the only file you really need is mplayerc.exe which you can unzip to your desktop)
- VLC Media Player: http://www.videolan.org