Windows Media Player doesn't do any transcoding, independent of what system codecs you have for playback on your PC. If you use WMP, it requires that the media files that you play on the PS3 are PS3 compliant (it's a fairly restrictive list). PS3 Media Server (PMS), in addition to streaming compliant files, supports transcoding to cover non-compliant files and also allow subtitles (PS3 doesn't support soft-subtitles in most cases).
So, if all your files are PS3 compliant and you do not require soft-subtitle support, then WMP will work for you. If not, you should give PMS a try.
And this question is covered in the FAQ under some of the tutorials linked in the first post. But you are right, there is not a dedicated post for it. Maybe I'll change that...
Edit: Eh, the Help tab in the GUI covers it pretty well.
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