WMP for mac is a joke!!! It really is. You can't get extra codecs for it either.

Most mac users use VLC - (click on link) _ (choose nearest mirror site) as it has its own built-in codecs & is generally very reliable. To see what it can do, see http://www.videolan.org/vlc/features.html Also good for both audio & video streaming.

To change the default of a file on mac osx, select the file, Command & i, or go to menu File>Get Info. Then choose open with. Then choose the program on the list. If it's not listed, use the browse option at the bottom. And then choose always open with.

Personally I use VLC for almost all video files with the exception of Mpeg2 which I use Quicktime for but I have the mpeg2 QT codec for it.
For audio, I use iTunes & Audion.