Divx is but one codec, and the Divx player will only play (last I checked) either Divx or MPEG-1 video with MPEG-1 or MP3 audio. It was also a steaming pile the last time I tried it, but that was probably 2-3 years ago.
One of the best things to do, is download a recent build of ffdshow for Windows. It's a very highly optimized multi-codec decoding program, that can decode just about any type of video you throw at it. It even comes with a handy audio codec decoder component. All highly optimized to make use of CPU instructions like MMX and SSE2 whenever possible. Allowing it to often times be more efficient at playback than the official codec packages.
With that, I like to include Media Player Classic. A great free and lightweight alternative to Windows Media Player that doesn't skimp on the features. It focuses on being a great video player, and little else. WMP has bloated into a video player, and audio player, a portal to an online music and video downloading service, and all manner of other garbage. It's big, it's slow, it lacks useful configuration options, it's encumbered by draconian DRM, and it has no real developmental focus. Media Player Classic, OTOH, has more or less reached the point of being the perfect video player for Windows. Just like WinAmp 2.95 was pretty much the perfect audio player.
There's also VLC Player which is a one package solution, combining an internal version of ffdshow along with a player. IMO, it's not quite as good as Media Player Classic, but it's a good solid second.
You can also get Windows versions of the almost de facto standard media player for Linux and other *nix operating systems, Mplayer. It's a lot like VLC Player, only assumes a lot more knowledge and understanding of things. It's very powerful, and very flexible, it just takes a large investment of time and effort to familiarize yourself with its many facets.
Windows Media Player is at the bottom of the pile in my book. Used only as a last resort, and only for the shortest possible period of time.