In order to play OGG files, you need an OGG aware media player like VLC.
If you are using a Linux operating system, you should be able to play OGG files out-of-the-box.
Under Windows or Mac, you will probably need to install VLC media player or any other OGG compatible media player.
VLC is a free and open source cross-platform media player which is able to play almost any music or video file without the need of external codecs. Among tons of other formats, it perfectly handles OGG music files under Windows, Mac OS or Linux.