This is what you need http://www.videolan.org/vlc/ .During install you will see the option to make it the default media player - accept it and from now on all you will have to do is to double click the files.How do you change the default setting for the program you open pictures or video clips?
If you have other media players, just right click on the clips, choose open with, and pick the one you want. Media Player will remain the default, tho.