[dfox]

.umx is nothing more than renamed Scream Tracker or Impulse Tracker module (.s3m/.it), so playing it just requires getting module player, mikmod is modern, still maintained and portable implementation, which can be used directly as player and is used in many open source media players.

[coroxout]

And if you want to edit them or look at the pattern/sample data, I recommend Schism Tracker, a modern open-source clone (with new features) of Impulse Tracker.

http://schismtracker.org/

I too have fond memories of going through all the directories for games and demos looking for cool stuff (graphics and sound files). Nostalgic shout-out to "Jonas' Mega Ripper", a tool which would go through data files and executables looking for image/sound chunks and save them to separate files.