MiniMedia has got to be the smallest media player in existance. The program itself is 2kb. Thats kilobytes, not megabytes.
Of course, for being so small, there is little interface. When you run the program, an Open dialoge pops up. You can play anything that DirectShow recognizes, such as WAV, AVI, MP3, WMV, etc. There are no controls on the movie windows, and there are absolutely no controls for the audio. That means the only way to stop playing an audio file is to kill the process in the task manager. (For videos you can just close the video window.)
That's about all. It's a very simple program, but very handy. Also, because it's so tiny, it is portable, I believe, as long as there is DirectShow. Correct me if I'm wrong. And on the developer's page, just search "MiniMedia." It's thrown in there. You can also download the source, meaning it's open source as well.
Visit MiniMedia (Catalin Patulea) website for download