As Bruno said, you can associate another player with the filetype, such as WinAmp. That's done in WinAmp's options.

But if Explorer is the one playing the file, and if you are in windows XP, there is a control bar on the left pane of the explorer window I think. Somewhere.

It's possible you have that bar or that whole windowpane disabled on your system. Look around the explorer menus for an option to turn it back on again.