If you're referring to the Windows Media Player, that's an ActiveX control. If you use that in a web page, it will only work in Internet Explorer on Windows, and only if the user allows it to run.
If you want to show video in your web page, use
the <video>
element[
^].
If you want to play sounds, use
the <audio>
element[
^].
Both of these have decent browser support, and will work on multiple operating systems. The only problem will be converting your media files to the different formats required to support different browsers.
Media formats supported by the HTML audio and video elements - HTML | MDN[
^]