If you are looking for small, light, and standalone media music player for Windows then you can try XMPlay Music Player. XMPlay supports OGG, MP3, WMA, WAV / MO3, XM, MOD, UMX and other audio formats, as well as PLS, M3U and ASX playlists. It also supports Internet streaming for all supported file types (including MODs) and can write 8-32 bit WAV files. Additional features include Interpolation and volume/pan ramping, Automatic gain control, 5 band equalizer, reverb, skin support and more.
XMPlay let you to change skin if you get bored with the original skin. You can also add some plugin like play music directly from MSN, play another music format, play form archieve file or another useful plugin. You can download plugin and themes from XMPlay website
The file installation is small (~300 MB) and you don't need to install. Just open click xmplay.exe file to run the player. So you can bring XMPlay on your portable hardisk or flash disk and play on another PC.
Remember, XMPlay is music player only. It can play music only not video like in Winamp.