|I can't read Chinese either, but that's a different story.|
My guess is that those programs don't have the necessary language packs to meet your current need.
You're able to get the Chinese character set in IE and Word because they're both M$ products.
WinAmp and RealPlayer are both 3rd party software. Oddly enough, considering how popular they are leads me to believe that they should have those language packs included in the download.
Maybe you should take a look on their respective sites and see if they have Chinese versions of those programs. Or, maybe there are some program settings you're missing. If not, I guess you're out of luck.