Fortunately on Windows 2000 and XP, the old media player is still in the default install. So I added a small bat file that launches the old medial player and makes it play a file. When I click on a .wav link (the voicemail format) from my email it plays the voicemail instantly. Here's the contents for the 'voicemail.bat' file I use to launch the fast media player.
start c:windows\system32\mplay32 /play %1