Windows is horrible for properly storing stuff like that. Personally I wouldn't use WMP either, as VLC will play anything audio or video and in almost any format.
There might be, as someone else mentioned, a Windows setting screwing with your files. Have you actually named any of the files yourself, or are you just importing them into windows?
If you could give a little more specifics into what you're actually doing it would be much easier to troubleshoot. I'm studying Computer Science currently and have also been an IT consultant for 5 years so hopefully I might be able to help you a little more