Every time I need to install the required software to play HD videos properly I start looking for links, so I decided to put everything in one place:
If you want some more control over the audio (surround sound, etc...) the you can also install AC3Filter.
By default, Media Player Classic uses its own codecs to play the videos, but I want it to use ffdshow (better performance with HD videos) so under "View -> Options -> Internal Filters" disable all checkboxes:
(instead of Media Player Classic's volume)