Does MacBook Air are have a DVD player?

No. You can purchase an external DVD burner for when you need it.

On the Apple Store / MacBook Air / Accessories.

USB SUPERDRIVE:

Slot-loading 8x SuperDrive (DVDA±R DL/DVDA±RW/CD-RW)

Writes DVD+R DL and DVD-R DL discs at up to 6x speed

Writes DVD-R and DVD+R discs at up to 8x speed

Writes DVD-RW discs at up to 6x speed and DVD+RW discs at up to 8x speed

Reads DVDs at up to 8x speed

Writes CD-R discs at up to 24x speed

Writes CD-RW discs at up to 16x speed

Reads CDs at up to 24x speed

The USB Superdrive is about $80