The easiest way to install WMP9 is with winetricks. http://wiki.winehq.org/winetricks
For mp3 playback to work, you must have 32 bit libmpg123 installed on your system and Wine must have been compiled with mp3 support. Not all distro packages have this. The workaround for lack of mp3 support in a distro package is to use the codec installed by WMP9 itself, l3codeca.acm. To do this, after installing WMP9 with winetricks, create a symlink named winemp3.acm in the wineprefix's /windows/system32 directory, with l3codeca.acm as the target.