WinAmp has always been the player of choice for me personally.

I never had any trouble making WinAmp the default player, but I'm also using slightly older version of Media Player, and I avoid XP like the plague, so I don't know how to solve that particular problem. Probably a case of Media Player re-grabbing the associations after WinAmp has grabbed them. Dig around the Explorer "File Types" screen (or whatever they've renamed it to in XP these days) and see if you can re-associate audio files with WinAmp.