Microsoft Windows Media Player is an application and extensible COM object for playing media files.

These media files can be (but not limited to) the following types:
Audio: MP3, WMA and WAV
Video: AVI, MPEG, WMV and DVD playback
MIDI: Midi
Playlists: ASX, WPL

Windows Media Player supports skinning, TV show playback, Online Radio, Online music purchases, Media file rights management, Portable Music Player device synchronisation, Jukebox features and a whole bunch of other crazy/cool features.

Windows Media Player is a free 12MB download from Microsoft.
http://www.microsoft.com/windows/windowsmedia/mp10/default.aspx