In Tools>Options in Windows Media Player (version 10 at least) there's a tab Filetypes. That lets you select for what filetypes WMP should be the standard player. For the moment I leave it to you to find out how to tell WMP it should show the menu bar so you can go into Tools>Options.

Mp3-files aren't in the player. So you can't really move them from one to another. You can add them to the library of a player like WMP, but they stay in the same folder of the same disk as they are now, and they even stay in the libraries of any other media player you have. A library is just kind of an index to real files.