Those are great answers if you would like to stick to Windows XP as your platform, however; if you should find yourself feeling adventurous try this...
- install ubuntu server, http://www.ubuntu.com/download/server
- get cmus,
sudo apt-get update
sudo apt-get install cmus
its commandline player for music there are many types of CLI players cmus is just what works for me.
3. get ssh if you don't have it...
sudo apt-get install ssh
now you can ssh into the machine and play any file it can access locally. If you really want to get fancy realize that you can mount remote (windows or linux) file systems, drives, usb sticks, whatever onto your linux server which now can be controlled remotely to play music.
My home setup is essentially this... linux server + sound card + speakers and it can play music from any filesystem in my home.
To make it even sweeter!!!!! if you love www.pandora.com
you can add the ubuntu repo and sudo apt-get pithos... which is a GUI client for pandora, the cool thing here is it also installs pianobar.
pianobar is a command-line client for pandora... so yes, you guessed it, you can load it on ubuntu and play your pandora account through your headless, ssh managed linux music server.
Slick, easy, and fast.
Just a thought :-)