After I download a program, how do I

[Babel_17]

8. The VLC Player is pretty good

http://www.howtogeek.com/howto/windows/play-real-media-audio-using-vlc/

One thing, like a lot of players, when you install it it asks to become your default player and enable Explorer context options. You can say no/uncheck everything and The VLC Player will still work fine.

If you want you don't even have to install it. You can download the zip file for it and you can extract it to a folder. It will have everything it needs in that folder. You can then run the player from that folder and from the player navigate to the file you want to play.

Edit: That guide shows how to stream real media audio. In your case, you have the file on your hard drive, use "Open file" instead of "Streaming".