Online music

How can i listen to online music and play the music through one player?

I don't understand what your asking.. Do you want to listen to online music coming through your speakers and record it??

and not record it, but only listen to it...

You plug the cable into the speaker outlet on the back of the pc and into the player providing it has the speaker jack input. My big stereo sometimes distorts the music coming from the pc ,but usually its good.
I hope I understand what you are asking..

i mean, what programs or files i need to have to listen to online streaming...

I now understand what you want .. Sorry to say I dont have the answer ,I just listen to what I have downloaded

You can play music fine from iTunes as Apple Store. If you want to listen some station on your computer, there are few options - Windows Media Player and Winamp.

which one of those players can play almost all file types...?

What types you mean ? All streaming stations from internet have both WMP and Winamp files in download list. And you can connect with winamp remotely where ever you want.

file types like .cgi and mms and so on

That's not even streaming file.. O.o MMS is protocol for mobile phones, for multimedia messages.

http://www.fileinfo.com/extension/cgi