depends really.....mostly on the format of the movie(files).
Windows Media player 9 is cool.....just 3 things too add and you'll be ok....
1- SLD Codec pack....excellent package...only need this 1
2- AC3filters.....for most sounds....excellent pack
last but not least....get DivX player 5.0.....this one is really a special player for a special format....you may or may not need it...again it depends on your file(movie) format.
to get em....just google the name ex: SLD codecs.....
hope this helps.....there are a few others that I know about but this should do what you need...