A few free programs I would recommend would be VLC player which will play pretty much anything without codecs.
VLC media player - Overview
And Spotify which is a relatively new program which is like a much, much better version of last fm, which for the unaware is a music streaming site.
This site is working in co-operation with many of the major labels (i.e. legal) and is totally free as long as you dont mind an advert every 8-10 songs or so in which case you can subscribe to the paid service.
The catalogue is massive and diverse and there's almost no loading times,It's in it's beta stage at the minute and (apparently) invite only but if you go to the link you should be ok.
If you like it, spread the word as this could help mean the end of music piracy eventually
https://www.spotify.com/en/get-started/