Running from the CD is slower than a thousand suns. I don't even have the patience for it, and I've had system freeze running off the CD....I think...I generally lose patience and pull the plug.
After you install it, consider enabling the medibuntu repositories and installing the following packages
ubuntu-restricted-extras
flashplugin-nonfree
w64codecs
libdvdread
That should get you a start on playing proprietary media formats. Ubuntu only comes with completely free software, which is how you are able to download it, distribute it, and install it without answering any EULAs.