I don't use XP, but for audio CD I use the player that came with my sound card, or WinAmp. For MP3 it's WinAmp. For mods it's Amp. For movies it's QuickTime Pro (if it works). For everything else it's Mplayer2 (6.4 I believe).
A newer version of WMP won't work on this system and I hate it anyway, I had another system with ME installed and WMP7 was the default and I disabled the POS and used Mplayer2 instead (I especially hate the change in shortcut keys).
I haven't yet run into a file that I can't play.