Just wondering about winamp........

Hi all
I was just wondering which is the better one to use Winamp or media player? I don't have an up to date version of media player and so have been using winamp but I'm fairly sure the softwear has minor bugs in it as very occasionly if trying to exit winamp too soon after opening it makes my computer unstable. I did all the disk checks I could and ran Norton utilites so I know the pc itself is fine. If I wanted to upgrade to Windows media player 9 do I have to do so direct from the internet to my pc or can I download to floppy disk and then bung on my pc? Soz if I'm sounding a tad thick here.