slepr, Windows includes apps that play all sorts of formats that most Android phones don't (not because Android is "bad" for not including them - some formats are proprietary, and Microsoft won't allow anyone to sell a program that can handle their format - selling a phone with the app installed is selling the app, legally).
However you're getting the music, try to get it in .mp3 format - Android handles that. If it's a different format, say .aac, just Google android aac and you'll find apps that play that format. (Do it for any format you need.) About the only "format" there's no player for is DRM-protected music, and playing it on a device other than the one you purchased it to play on is a violation of a couple of laws, unless you live where laws don't matter. (In other words, if you have a CD with DRM-protected music, you can only play it by playing the CD. There's nothing preventing you from connecting a CD or DVD drive to the phone with an OTG cable and playing it that way, but ripping the music will produce an unplayable mess.)
But for normal files, like .aac, .ogg, etc. (normal but they won't play in your phone), even if the phone has no native player for the format, there are players you can install that will play them.