I mostly use WMP for organising and listening to music as well. However I also have Realplayer and Quicktime since they are required for some file formats and streams on the web. I dunno about files not opening, but maybe you miss some essential plugin? Are you using the latest WMP 10? Else try Quicktime
I DO have some problems with audio files opening INCORRECTLY at this site (and some other sites as well). It seems my browser (Firefox atm) opens up the quicktime player in the browser window itself, but it only plays the first few seconds of the song. When I try to download the entire file, WMP plays back an inrecognizable file, with a lot of indistinguishable noises. Maybe it's got to do with firefox downloading and putting the file back together in some erroneous way? Maybe some of you guys know what's going on?