If you're planning to watch any sort of movies on Windows, there are a few useful programs (some of which are cross-platform):
VLC media player - a nice all-purpose media player that works with DVDs in addition to many other formats.
QuickTime Alternative and Real Alternative - free versions of the QT & Real codecs that allow you to play those formats without the need for a separate movie player for each. Also includes browser plugins and Media Player Classic, another free media player similar in appearance to old versions of Windows Media Player.
ffdshow - a codec that allows Windows Media Player to play videos encoded with divx, xvid, and a bunch of other stuff.
MPlayer, of course, also exists; I haven't tried it on Windows myself, though, so I can't say how well it works compared to its incarnations on other OSes.
If you're planning to watch any sort of movies on Windows, there are a few useful programs (some of which are cross-platform):