Windows Media Player for Mac. How do I install?

I just bought a Mac (switching from Windows based machine). If I go to a website that has video, it keeps telling me that I don't have the proper plug-ins and directs me to the Microsoft site. When I try to download the Windows Media player from that site, it keeps telling me NO (in so many words, of course). Can someone please teach me how to get Windows Media Player on my new iMac?

Thanks. By the way, if anyone is nice enough to help me, please speak to me as you would a third grader. I am not good with computers.

Thanks.