There's a player called MPlayer which can play real files. IT's very similar to VLC (open source.) Search the forums for MPlayer & you'll find the address to it.

People use WMP because it's one of the programs that comes with windows so it's all some people know. But in reality it's not really such a great player. One thing that annoys me about it (other than not having in-built codecs) is it connect to the net everytime you open it.