It doesn't matter to Media Player, it will still organize all of these files by Artist or Album or Genre. For instance, some music files in a single library may be in the Music folder while others are in the Documents folder.
The files in these libraries are not necessarily all found in the same folder. Media Player organizes all of your music files and movies into libraries. To launch Windows Media Player, simply click it's icon in the task bar. You can also watch streaming media and DVD's on it. If you are connected to the internet, it will even go online and find information for the songs or albums you are listening to, including the original album's artwork. If you're not familiar with it, Windows Media Player is the software that will allow you to play and organize all of your music and videos. The version that shipped with Windows 7 is only the most recent incarnation and it is not available for machines running earlier versions of Windows (such as XP or Vista.)
It has been included in every Windows operating system since 1991's Windows 3.0. If you've used PC's in the past, chances are pretty good that you're at least somewhat familiar with Windows Media Player.