You need to install a few softwares (plug-ins) if you want to fully enjoy the Internet at full flavour.

Audio/Video Streaming

Streaming is a technique that allows you to play an Audio or Video file while it downloads on your computer, so you don't have to wait the end of download to enjoy it. Streaming is a very popular and practical with Fast & Always-on Broadband Internet access. It is also one the Music and Movie Industry's favourite because you don't need to own a file on your computer to play it. Although Peer to Peer (P2P) or file swapping is their main concern these days.

Most popular Players

Apple Quicktime: www.apple.com/quicktime/download
Free basic player or Pay for Pro player.

Microsoft MediaPlayer: www.microsoft.com/windows/windowsmedia/en/download/default.asp
Free Player. Some cool skins and visual effects. 

Real Networks: www.real.com/realone/index.html
Free basic player with a true Broadband content portal. You can pay a monthly subscription to access Premium and more Broadband content.

Other Essentials

Macromedia Flash & Shockwave: sdc.shockwave.com/shockwave/download
Many sites use Macromedia Plug Ins to spice-up their pages.