There are three main ways:
1.) Use the program's internal option.
2.) Set File Associations for all desired file types yourself.
3.) Use the tool built into Windows.

Since you are running Windows XP the last option is the usually best. Go Start->Control Panel->Add/Remove Programs and along the left-hand side click "Set Program Access and Defaults." Then just expand "Custom" and select Windows Media Player as the default and click OK.

Hope this helps,
John