We are using for some time a very cool add-on for Winamp & Windows Media Player which automatically finds & shows the lyrics for the songs you are playing. It was very hard to find something which works every time and it is actually free (not just free to download), but we’ve found it. Plus it doesn’t install any crapware to nag you. It is called Lyrics Plugin and you should definitely give it a try.
Lyrics Plugin (download page)