Hi
You don't have DVD Player installed, since you did not have a DVD drive before this.
DVD PLayer.app cannot be downloaded, dragged from another disc, etc., it has to be installed.
Your options are to re-install the OS (if the drive will allow you to boot the OS installer CD's), or to use Pacifist to extract & install DVD Player.app
The directions are different for Jag vs. Panther, so please post back with the correct info, and I can outline the process.
Apple's DVD-RAM drive variations