The LW player will do that, especially if your doing other things like d/loading or surfing the web while your using it. It's best used just for previewing files. You can choose not to use the LW player by going to Tools>Options>Player. Then your default player will be used to play files.

I use winamp but there are plenty of others out there. There are some suggestions in this thread:
CODECs list and alternate players for Movies and Music

ee: Setting Default video app

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