Media Player == software for your computer in this case. Itunes, for example, can't play FLAC. It can play ALAC (Apple Lossless Audio CODEC), but no FLAC. ALAC has *some* support, but I've chosen FLAC because I think it's more supported and more future proof.
On the windows platform you have a good number of choices for high quality players. One of the oldest (maybe *the* oldest) and most mature programs around is JRiver Media Center:
http://www.jriver.com/
It's an incredibly powerful piece of software. There's a learning curve. It's not the most simple. But it's among the best. There's a 30 day free trial with no features limited; what you see is what you get for 30 days.
Good luck to you. It should be a fun journey!
Brian.