I'd like to watch whatever pr0n I downloaded on my linux box..
I remember having to download QuickTime RealPlayer WindowsMediaPlayer9 etc. to watch movies on windows..
How do I do it on linux ?

First we need a descent player, xine is my choise..
Download a package or install it from your distro..
Or be cool and download the source here..
Install both xine-lib and atleast one frontend..

Now to get them weird codecs like wma, wmv, ra, ram and mov to work..
Go to http://www.mplayerhq.hu/ from the driver section, go to codecs, and download the essential or the all package..
Unpack the contents and move them to /usr/lib/win32

If you are not using mplayer or xine, you might need to change the path to 'Win32 codecs' in your video players config..

Have fun !!