The way I did it after installing iTunes was to go to my music folder, right click on a song, click open with, click choose program, now choose windows media player and check the box that says always use the selected program to open this type of file. It will then become your default. You can do the same with any video type program.
Have you checked out the visual effects on iTunes, tons better than media player. You can make it fill the entire screen then control music played with the keyboard, spacebar is pause/play left and right arrows are replay and skip.
iTunes also fades in and out of tracks really nice, I ended up making it my default music player, media player for vids.