Because Microsoft no longer hosts these legacy files on its official site, you must turn to community-maintained archives. Microsoft Windows Media Player - Win3x.Org
If you are setting up a vintage machine or a virtual machine (VM), you aren't limited to the original 1995 release. You can download and install newer "out-of-band" updates that were backported to Windows 95. Windows Media Player 6.4: The "Classic" Choice windows 95 media player download
Released in 1999, version 6.4 is widely considered the best balance of features and performance for Windows 95. Because Microsoft no longer hosts these legacy files
It is lightweight, supports more modern (for the time) codecs like early MP3s, and is famously the version that Media Player Classic (MPC) was designed to mimic. Windows Media Player 6
Following the introduction of the DirectShow codec, Microsoft began rebranding its multimedia efforts under the "Windows Media Player" banner. Choosing the Best Version for Windows 95
It officially supports Windows 95 and NT 4.0. Windows Media Player 7.0: The Final Frontier
In the early days of personal computing, the launch of Windows 95 revolutionized how users interacted with digital media. Whether you are a retro-computing enthusiast or simply nostalgic for the era of "Start Me Up," finding a today is an exercise in digital archeology. The Evolution of Media Playback in Windows 95