Hi
Go to wherever you have directed your downloads be sent (the Safari Preferences>General default is the "desktop"). There, highlight one of the Window Media files. Then Apple Key + I to open the Info panel. Go to the "open with" section. Click on the drop down menu, either select another player if it is listed or select "Other", navigating to your player of choice and select it.
Back to the Info panel, same section, select "change all". That will change all similar present and future files to your new player designation.