XMPlay is a standalone audio player with all the features of fully intstalled one. This program is awesome to use on a flashdrive with your songs on it, because it can store your playlists. Its incredibly small, but becuase its a standalone, clustered with files, it is distributed as a zip. To unzip it you need winrar which you can get here. XMPlay's home site is here.
If you neecd to you can also directly download the zip here.