What do I need to download to play VOB files.

I believe that you need the same codec that you would need to play a DVD on the computer. Just having it installed should allow WMP to play the DVD.

As far as I know, there are no free codecs that will do this (the technology is licensed). Installing something like PowerDVD or WinDVD (which typically come with DVD drives) should take care of it. There are also codecs that you can purchase separately - I'm sure someone else can point you to them.