I have heard that windows media player is not as good as Winamp, which is available for free download and can be skinned (customized). That said, I tried it and could not get it to play CD's. I am going to reinstall sometime.
I would recommend connecting your headphone output to a "line" in input on a receiver/ integrated/ preamp. You can get a 1/8" mini stereo to male phono cord at the Radioshack for this purpose. Then you can connect it to any combo of audio stuff that you want.
However, the best thing you could do is connect your USB or IEEE Firewire outputs to a separate D/A converter. Needless to say this is challenging because there is not much equipment of SW for this purpose. Have fun.