VLC Media plays all video formats and also supports MPEG streaming.
This free VLC Media Player is a cross-platform multimedia player which supports MPEG and DivX streaming video as well as all major audio and video formats. In addition, VLC Media Player offers the ability for users to watch the relevant movie while it is being downloaded. Available for all relevant platforms such as Windows (XP and Vista), Linux, MacOS X -- and even BeOS and Zaurus!
Arguably the best media player available, and certainly way better than the kludgy behemoth that is Windows Media Player.