Firstly, welcome to the forums...
There's one main method with which people measure these. Among all media players, it will show you the same info. In other words, all media players are equal in terms of playback performance, except under some rare conditions. That doesn't mean all containers or codecs will provide equivalent performance however (quite the contrary with various codecs).
In Windows Media Player, you can access the Statistics dialog via the View menu. This will show you dropped frames, actual FPS, and optimal/expected (encoded) FPS. Changing the used video mixer can have a dramatic effect on your performance (and compatibility). If your video card has HD H.264 acceleration support (only GeForce 7800GTX via PureVideo at this moment), then the Video Mixing Renderer will be faster ("high quality mode" under Tools->Options->Performance->Advanced). If not, the "overlay" mode will give you a little boost. Of course, this is only true providing H.264 is what you're using. Most of the Radeon X800 line and some of the GeForce 6 line of cards also feature WMV HD acceleration if you have the right supporting software and configuration. Hope this helps.