On a windows based system, you should find one of the music file types that you have on your system (or download one that doesn't open in the right player).
Right click on the file and click on "properties" - you should see something like "opens with" and have a player type listed - might be IE, real player, Win Media Player, etc.
You'll also see a box or button that says "change" and let's you select a default player for that file type. Click on it, close all you browsers, and then launch that song. It should play in the media player you selected. Then when you see files like that on the web, they should play in the correct player
Another way of disabling the media option turned on in IE6 is to just disable it under Tools - Internet Options - Advanced - you'll see it most of the way down.
Good luck. Ron