This one (mplayer) is ideal to preview files you are currently downloading although it doesn't have any GUI controls (try some keys to find out what they do):
http://www.magnetdb.com/viewtopic.php?t=20

Then there are a number of codec packs you could use to play those files with the standard Windows Media Player, I'm using the ACE Codec pack:
http://www.google.com/search?hl=en&i...=Google+Search