There are several possibilities, but the best way of doing this in Windows XP is to go start->Set program access and default (or start->control panel->set program access and defaults), select Custom, then fill in the bubble next to which ever programs you want to be default.
Hope this helps,
Using: WinXP(SP2), P4, Media Player 10
When I downloaded (or upgraded) iTunes, QuickTime seems to have assumed some of the default media duties that MP had.
Don't like QT - how do I restore MP to its former status as my main squeeze?