Use Ogg directshow filters for playing Ogg on windows.
Vorbis tutorial by angrycofee.com provides vorbis creation and usage guide.
Use audio-plugins for nero burning room.
Illiminable - Directshow Filters for Ogg Vorbis, Speex, Theora and FLAC. Helix provides a open source player and codecs for playing Ogg files on both windows and linux.
ffmpeg2theora can be used to convert .dv and .avi format video into Ogg Theora.
Ogg Theora Micro-HOWTO provides information using theora.
VideoLan also supports Ogg file formats.
MPlayer - The Movie Player
xine - Another popular open source movie player that supports Ogg.