If you have any more questions as to how to get the actual player running, PM me. As for lag, just try and not do any multi-tasking, if using aero, switch to vista(or 7 in my case) basic, and end all un-necessary processes. Or of course, get a faster connection. Bandwidth isn't based on your d/l or upload speed, it's based on how much of that speed you receive. If you're direct connect, great. If not, and you use a wireless router or a wall-plug in adapter(like myself) then you need to have a really good one to get the most out of your internet. So try messing around with upgrading that.
Like I said, any questions, feel free to ask. Sorry about the wall of text lol.
Edit: If any of the info given wants to be added to the OP, feel free. Just wanna make things as easy for users as possible.