Not so fast there Alai!
I used, for years, a Y-adapter with a 1/8th plug that branched into 2 RCA jacks, running from my computer's headphone jack to my receiver's AUX outs. The sound had background hum or hiss true, but it was pretty good with whatever onboard soundcard that came with my computer (a 2001 Sony Vaio).
In fact, though I knew about external DACs and had the money to get one most of the time I had my Vaio, I didn't feel compelled to because the sound was so satisfactory, even good.
I finally replaced my Sony computer last Dec. with a HP and hooked up my audio in the same way, with a Y adapter RCA connector cable, only this time running from the speaker out on the back of my HP instead of the headphone jack like on my Vaio (I also tried the HP's headphone jack, but there was no audible difference).
NOW there was a difference, between whatever soundcard came with my new HP and whatever had been in my Sony. The sound was of much lesser quality. So I started looking into finally getting an external DAC.
Well I got one, a Blue Circle Thingee, and although it has no background hiss or hum, overall it's sound is not as satisfactory as what my Sony Vaio had in it for a soundcard. It does many things better than the Vaio sound setup, but overall it's not as good since it sounds thin or lacking in the midrange and the Vaio does not.
The generic Vaio integrated soundcard outclasses this DAC at least.
Btw, I have a Sansa Vuze and although the SQ is good, it's not great. My Cowon kills it. I wouldn't call the Vuze terrible, but I wouldn't listen to it all day at work instead of my Cowon, I only use the Vuze for exercise because it's easier to operate "blind", i.e. pushing buttons in my pocket to change songs, volume, etc.
That said, hyperreal, try some different media players than WMP. I use and have used: Foobar, Media Monkey, J-River Media Jukebox, and Winamp. There is also the whole matter of ASIO if you have a pre-Vista Windows computer, I have Vista which is supposed to (I think) be okay with it's direct sound that doesn't need to be circumnavigated like XP's.