Many times you may download music files which are in .amr format, by default Windows does not have the capability to open up .amr files and you will require an external audio player like QuickTime player or RealPlayer.
Though both these players have support to play .amr files, we would suggest you use the Nokia Multimedia Player which is a lightweight option for playing mobile content like .amr and .3gp files.
Related: How to play RM files?
What is AMR format?
Adaptive Multi-Rate (AMR) is an audio data compression scheme optimized for speech coding. AMR was adopted as the standard speech codec by 3GPP in October 1998 and is now widely used in GSM and UMTS. It uses link adaptation to select from one of eight different bit rates based on link conditions. wikipedia