When recorded music is prepared for public consumption it goes through a process known as mastering. This almost always includes use of a device called a limiter or compressor. In simple terms, this device squashes down peaks in the music, so that the level can be made louder overall.
Obviously, dynamics (loud and quiet) are a core element of what makes music interesting. If everything is at the same volume musical expression is greatly diminished. It takes a very skilled mastering engineer to preserve the musical integrity of the piece, whilest reaping the (debatably dubious) benefits of limiting/compression.
As time has gone by, limiters have become a tool used by record companies to make their records sound louder on the radio and in public places (bars, clubs etc) than those of other record companies. This has resulted in modern music often being overly limited and sounding much less musical as a result and partly explains the problem you are having.
The solution offered by Windows Media Player and various other media players and plug-ins, is to introduce more compression in an attempt to level out the music. This is also done by radio stations. In-fact one of my band's songs was played on Radio Wales recently and sounded far more compressed than the version we gave them!
It does work to an extent - and the setting in Windows Media Player can be found as 'Quiet Mode' under View:Enhancements:Quiet Mode.
I don't think it's a particularly harsh compression - so see what you think.
If this doesn't work for you try some others. Compression is very very hard to get right though, so don't be surprised if some things sound OK and others sound awful, of if you can barely tell the difference!
