For detailed instructions by platform and authoritative list of clients available see Vorbis.com
VLC Media Player is a free, open-source, multi-platform (linux, Windows, ...) multimedia player that can handle various audio and video formats, including ogg/vorbis.
Follow the instructions and download the Ogg Vorbis codec for Windows Media Player.
For detailed instructions by platform and authoritative list of clients available see Theora.org