This problem used to be solved by finding some software on the web, installing it and then running it.
Now with Windows Media Player 11 you can find out this information in just a couple of steps.
Open Windows Media Player 11
Click on Help
Click on About Windows Media Player
Click on Technical Support Information
Internet Explorer will open and show you a list of Binaries, Audio Codecs, Video Codecs, Mpeg/DVD Filters, Plug ins, Services and Partners will be displayed.
All of this is useful information when dealing with video related problems.
The likes of Gspot, AVIcodec and Sherlock the codec detective still have their uses as they give much more detailed information on what is happening with a particular file or codec.
Can't see the tabs across the top of the WMP window, click on ctrl M and they will appear and stay there. ctrl M will make them go again. You can just use the alt key to make them appear as a drop down menu.