wmp was designed for it. But you often need xtra codecs to play all formats of video & audio files. May I suggest VLC which has in-built codecs & plays everything (incl. some audio formats) except the odd wmv file. http://www.videolan.org/vlc/ (choose the nearest mirror site.)

Else use wmp but load yourself up with lots of codecs: http://www.divx-digest.com/software/nimo_pack.html
OR http://www.free-codecs.com/