Open .MP3 in Media Player by clicking link

"The windows system uses a system wide file association as described on this Wikipedia page.
To associate your media player with the MP3 files,
you can do the same editing the MP3 file type at,

My Computer ==> Tools ==> Folder Options ==> File Types.

Alternatively, I think, you should also be able to setup the same association by
[right-click] on a MP3 file in the Explorer window (not IE) and selecting the [Open With] option to choose media player -- just click on the ""Always use this program"" button at the bottom to create the association."