aah, hope they gave you a discount because of the lack of OS X CD

makes it hard for you because you can never reinstall or repair OS X. Did you even get the Hardware Check CD?
anyway, you're a little stuck, because you can't (legally) download DVD Player. In fact, you'd have a hard time finding an illegal copy of DVD Player too, because not many people find themselves in your situation, and therefore wouldn't need to "share" it.
If you had the OS X install CD you could use an app called
Pacifist which allows you to look inside an installer package and yank out DVD Player manually, without the need to go through the OS X installer process. but i guess that really doesn't help you here in your situation. thought it was worth mentioning.
Only thing I can think of is - dare I say - buying OS X. might be able to find a bargain on eBay.
I wish there was a free and legal solution here, because you are entitled to the application.