You can get
pAppLocale which contains some fixes to Microsoft's version. Or you can use
AppLocale (the original). I'm not sure what pAppLocale fixes and I never bothered to check but that's what I personally use. It seems you use Vista, in that case you may also want to read
this. There are various guides to read up on if you can't figure out how to use it but it should be fairly straightforward. Load up your program with AppLocale (or pAppLocale) and then pick the 'locale'. There are also various tweaks you can do to add it to the right-click menu (Google it if you need it).
If you need an MP4 player however there are other players to consider, you don't technically need to use that one. I personally really like foobar2000 and it's great for audio playback. You can tweak it to look really nice or leave it as is. Probably one of the best audio players out there.
EDIT: If you are playing video files, then I recommend CCCP + RealAlternative Lite + QuickTime Alternative Lite. These should cover pretty much everything you'll ever want to play. CCCP comes with Media Player Classic. At worst case you could use VLC.