play music from my files

I DOWN LOADED MUSIC OFF THE INTERNET IT WAS PUT INTO MY DOCUMENT FILE, AT FIRST I COULD PLAY THE MUSIC THAT I DOWN LOADED, NOW I CANT A MESSAGE SAYS THAT FILE DOES NOT HA A PROGRAM ASSOCIATED WITH IT FOR PERFORMING THIS ACTION. CREATE AN ASSOCIATIONIN MY COMPUTER BY CLICKING VIEW AND THEN CLICKING FOLDER OP. WHAT DO I DO THEN?
ALSO IN MY WINDOWS MEDIA PLAYER WHEN I TRY TO PLAY MUSIC FROM THERE THE MESSAGE SAYS THE SYSTEM CANNOT FIN THE FILES SPECIFIED, PLEASE HELP!!!