Choose your path:
Path 1 for downloading codecs for windowsmedia player
OR
Path 2 for a different player with integrated codecs
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Path 1) If you want to get the codecs to play a certain file just follow the GSpotQuickStart link in my sources and it will help you identify what codec you need and it will also install it for you it has a large library of both audio and video codecs (about 900).
Path 2)If you don't want to download the codec you can download VLC player (link in sources) which doesn't need codecs but has them integrated into the player. The only downside is that you still won't be able to watch dvd movies in the windowsmedia player because VLC player doesn't use your system codecs.
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I hope I have helped you!