Usually mac apps are bundled into a .dmg disk image for downloading, which should open without issue as a volume on your desktop. You can either run it from the disk image or copy it to the Applications folder and run it from there. Likewise .zip files. Sometimes things are still delivered as .sit or .sitx files for which you'll need Stuffit Expander (free).
The application itself should have a .app extension (when you look at Name and Extension in "Get Info" - press apple+I )
I didn't think WMP was still available for Mac in any case? or is that just for Intel Macs? I'd use Flip4Mac as a plugin for Quicktime myself.