Codex's DO need to be installed
all i have to date is DivX which is free which has a user friendly installation to allow ur current default player to use the DivX codex and installs the DivX player if u want to try it (this codex seems to be VERY common and solved most of my media problems)
also as others have indicated there are other (free) players which include most (if not all) codex
LOTR's post (i gave link earlier) includes link to a couple of those players
also Ursula's sig includes links to players and codex look here
sry but i have MANY such projects ongoing and cannot be much more help on this one subject currently