Ok, malbuc87uk . First of all, the Terminal is NOT effectively a DOS prompt, mainly because MS-DOS is evil and terrible and whatever your default shell is (Bash, probably) is much better.
Windows allows you to do simple things simply but at a very high price: It assumes that you want to do things in a certain way and there is no way to change that.
GNU/Linux does not need plugins to listen to music. Browsers might (Firefox for example).
Your Hard Drive is not "destroyed" but. The filesystem happens to be different from fat32 which is what most Windows computers use.
As dreamweaverdude said, you might be using a distro which is designed for more experineced users. There are others which are designed for less experienced people.