The Sound & Video menu contains applications for viewing video, listening to audio, working with optical media (CDs and DVDs) and making sound recordings. There are lots of applications available which you can read more about on the MultimediaApplications page.
Not all applications installed on your system are visible by default, you can edit the main menubar to show hidden applications.
Audio CD Extractor
Sound Juicer is one of the applications supporting audio CD extraction (sometimes called Ripping). It is available for install from the Ubuntu repositories:
"Sound Juicer is a simple and clean CD ripping tool. It allows you to extract the audio from audio compact discs and convert them into audio files that your computer can understand and play. Sound Juicer can also play the audio tracks directly from the CD, allowing you to preview the CD before ripping it." (Sound Juicer Manual, Introduction, 2008-01-12)
The Ubuntu desktop uses Totem as it's default video and music player - "Play music and songs"
"The Totem Movie Player application is a movie player for the GNOME desktop based on GStreamer framework and xine library, and enables you to play movies or songs. " (Totem User Manual, Introduction, V2.0)
Brasero Disc Burning
For writing to optical media the Ubuntu desktop uses Brasero - A "simple and easy to use CD/DVD burning application."
"Brasero is a application to burn CD/DVD for the Gnome Desktop. It is designed to be as simple as possible and has some unique features to enable users to create their discs easily and quickly."(Brasero's Gnome project page, Introduction, 2008-07-23)
Article Brasero Wikipedia article
For more general information on installing software, see InstallingSoftware.
The MultimediaApplications page has a selection of installable software documentation