You'll need to get StuffIt Expander to decompress the archive that the Windows Media Player installer comes in, if you don't have it already, or haven't already decompressed it. If you have decompressed it already, but it won't run, the most likely cause is that the installer application is not marked as executable - this is best fixed in the Terminal (the command-line aspect of Mac OS X).
When you download the free Stuffit Expander from Allume.com, it should come as a .dmg (disk image). This should automatically open with Disk Utility (well, BOMArchiver specifically) and mount on your Desktop. In the mounted disk image, there should be an icon to install Stuffit Expander. You should simply be able to double click it and it will go through the installation rigamarole.
If you're new to Macs, are you using Internet Explorer? Try using Safari instead.