I've just set up mine with PocketLan (
http://www.pocketgear.com/software_detail.asp?id=2825 ) to handle mapping the network connection, and am using PocketMusic to play my files.
I had originally intended to just use media player, but found that when ever I started it it took an age to scan my mediaserver for all the files (approx 6000 tracks on the server).
I bought PocketMusic because it builds up just the directory list and only looks for the track listings on the directories I select.
If you're media files are only MP3, then I imagine the freeware version would work, otherwise it's $20 for the feature pack that adds WMA support.
laura.