Flamebaitpeople will think "there goes the FOSS zealot again"...
Recommending MPlayer anyway I strongly recommend
MPlayer, even for windows. I installed it on a friend's PC and he was so thrilled that he in turn recommended it to two other friends who also where amazed by its capabilities. So far I have gotten only positive feedback, if you disregard the complaint about lack of an uninstall function (what is not installed, you cannot uninstall).
MPlayer for windows ist just one .exe with a directory full of codecs. This makes updating either totally supereasy and also does not mess with codecs of other players.
There seem to be installers available too. I am sure you will find your way :-)
Why it rocksMPlayer will play anything: avi, mkv, mov, ogm, mpg, dvd, vcd, svd, kvcd, mvcd, rm, wmv, disc images...; it will play any stream, even those bloody rstp-streams (which it can also dump on harddisk so you can listen to it later).
MPlayer also understands all the subtitle formats and even can convert between several of them.
Keyboard shortcuts are "teh win" What I like best about
MPlayer are the sensible keyboard shortcuts: <space> for pause/play; f for toggling fullscreen view; . (dot) to go frame-by-frame; m for toggling mute; +/- for adjusting the subtitle delay; z/x for adjusting audio playback delay; <left>/<right> for jumping back/forward 1 second, <up>/<down> do the same in 10-second-intervals; q to quit the player. There are some more keyboard shortcuts, but these are the ones I use regularly.
With GUI, and without GUI too It is a command line program, a fact which will scare away many potentially happy users. But fear not, brethren! For there are GUIs available too. You only have to find one that suits your needs. (As a Linux zealot I am in the comfortable position that my OS allows me to customize my desktop which acts as a GUI to mplayer)
Lack of features What it doesn't do: it won't interfere with windows media player; it does not need admin privileges for "installing", just copy the .exe on your desktop and drag your media files onto it; it won't create suspicious registry entries; there is no "telephoning home" or other "usage reporting".
Possibly difficult to build on windowsMPlayer is actively developed, so frequent updates from CVS are a good idea.
However, I have no idea about building it on windows. You will get help on irc://irc.freenode.net/mplayer though. They have always been friendly towards me.