There are advantages and disadvantages to Linux and one of both can be that there are so many versions of it. If you are talking about Ubuntu, you probably have at least Wine installed Wine and Cedega run a lot of but by no means all Windows games. For various reasons the Linux market doesn't seem to work out for companies, although many games are developed on networks which usually run UNIX or Linux (because they require so much less memory for the OS). Very little research is usually required to find out whether a given program runs under wine or Cedaga, or whether a native port of Linux is available. You basically open wine, use it to run the installer program, then run the program itself under wine.
For DIVX movies there are several choices. My personal favorite is the old stand-by Mplayer, but since I use the KDE desktop so much, Kaffeine (which is playing a live radio stream right now) is one I use a lot.
Frankly, if you are just trying it out, I wouldn't even install it. I would download a KDE-based Linux called Knoppix from:
http://www.knoppix.com
and try it out. It's got kaffeine mplayer and wine installed out of the box. It installs nothing to your disk (it's really supposed to be for forensic work, salvaging and fixing hard drives, and so forth but if you aren't into that it really doesn't require a lot of technical knowledge: you can surf the web, write documents and watch movies with a couple of mouse clicks.) Since it doesn't write anything to your hard drive without specific not always simple instructions, it isn't a long term solution, but you can "install" some games to memory using wine and see if they will play. If they will, they will install and run under any linux, but of course when you reboot the machine everything will be gone. Everything.
Just a thought.
EDIT: Okay. I swear I'm awake now and remember what a net book is. You probably have Xandros installed with the media players and Wine. Just check to see which programs install and run under wine, and try your files with the installed media players. Xandros is one of the Linuxes which tries for compatibility and should have everything you can use installed. That is a stated reason they install it.