WinAmp WinAmp is a free mp3 player.  It also plays wav and midi files.
Noteworthy Composer This is the software that we've been using to capture our music
scores on the computer.  It provides midi playback of your scores
which makes it convenient to pick up on mistakes.  It can also capture directly from a midi keyboard.  They have a free player that lets you look at and play the .nwc files created by Noteworthy Composer.
Media Wizard This is a handy utility that allows you to turn CD audio tracks into wav files and then into mp3 files.  It also allows you to convert mp3 files into wav files.
Saxophone Technique This site has some good information on playing the saxophone.