As of 09-11-06, MPlayer has been released for Windows. The program is stand-alone and does not need to be installed. Just download it from their site and run it. Up until now the only way to use MPlayer in windows has been via the command line, or with a third party front end. :) This is great news, since MPlayer is one of the best Media Player applications around, for any OS.
There are still some minor issues since this is the initial release, but it is more than functional. Here are a few screenshots: