Microsoft does not pay for additional CODECs. What's a CODEC? Read item 2 at http://searchnetworking.techtarget.com/sDefinition/0,,sid7_gci211810,00.html
Microsoft also may not fetch any "rogue" codecs, that is, codecs that Microsoft does not bless. So you are left to find them on your own.
VLC builds in most of the needed codecs so it just works.
I have a question about Windows Media Player 10. For some reason, I have lost the audio of some of my video (mpeg2) files. I can play my music files without any problems and I don't have the mute button pushed by mistake. I can play my mpeg2s in my VLC player and the sound is fine, but for some reason they do not work anymore in WMP10.
Does anyone know what the problem might be?