I've had a few people ask me for directions on setting up Media Player Classic (MPC) as the default media player, so here are the steps I take to set it up for myself. These instructions assume you have already downloaded it from the download link provided here.
MPC is a portable application, so it doesn't need to go through a typical installation. It can simply be copied to a folder on your PC and run fine from there. I installed mine to c:\program files\media player classic. I manually created the directory and copied the program there.
Open MPC and click on View > Options, then click on the section entitled, "Formats".
Click the "All" button to make MPC the default player for all media types. You can then close that section and close the program if you wish.
At this point, MPC will play DVD's MP3's and a few other media types, but to get maximum functionality, you will need to download a codec pack and run its installation. For more information about codecs, including what they do, legal issues and download links, see the article, "Understanding Codecs".
At this point you could stop here and play 95% of the media out there, but if you really want to push the functionality of MPC, read on. You can make MPC play RealPlayer and QuickTime streaming audio and video. If you have these programs installed on your system already, MPC will use them for playing your streaming media automatically with no changes to your existing MPC settings. If you don't have them (Or don't want them) you can install "Real Alternative" and "Quicktime Alternative" codec packs. These will allow you to view those streaming media types without installing RealPlayer or QuickTime. Also, you can play ShoutCast streaming audio by installing the "WinAmp Alternative" codec. Remember, RealAlternative, Quicktime Alternative and Winamp Alternative will install MPC if you are not careful. During the installation, you can specify not to install MPC and just install the codecs.
You should now be all set at this point. Most every media should play through MPC and it will automatically use any codecs you have installed.