Good unpacker for newbie?

Okay, I'm new to trying unpaking, I tried the Generic unpacker W32, but that doesn't seem to function on my XP pro system, it wont even open properly, I just get a grey box, so I installed Procdump, which looks good I thought, but first program I unpacked, when I tried then opening it in Olly, it then gives me the message "the procedure entry point could not be located in the dynamic link library WINMM.DLL", it looks pretty straightforward what you are supposed to do, seems to do all the work for you, but somehow it didn't work.
Should I use a different unpacker, if so what?