You will need the following codecs:
DivX
Xvid

That's about it really. It's recommended you download the ffdshow codec pack, but i don't know the link myself. It simply contains the 2 codecs i stated above along with a ton of others. Once the codecs are installed, you should be able to watch any anime in your Windows Media Player.

Incidentally, i would recommend that your Windows Media Player (WMP) be upgraded to WMP9. Because it has up to date standard codecs which the files sometimes uses on occasion.

Make sure you select the player that matches your OS.