Yes, but it will have to wait until I get home. It didn’t even occur to me last night.
If it’s been going a while (and thus you don’t want to restore the registry as per Number’s excellent suggestion) then…
Can you run regedit (from Start/Run)? If so, use the find facility to locate all instances of the name of the media player executable (on my system it’s wmplayer.exe, but check on yours). See if any look suspicious…
What would something “suspicious” look like?
Hmm…not for the faint of heart, but have a look at http://support.microsoft.com/?kbid=140991
…you might decide that you’re better off downloading Firebird and using that instead! 
Don’t know, I’m afraid :D, something which would lead you to think that this registry entry was the one linking wmplayer with executables, I guess. As to what that would actually be? Sorry.
I don’t know if you’d want to do this but I would think one way to fix this is to uninstall WM player then download it again
Like most everyone here I have no idea how this happened in the first place and never have heard of it happening elsewhere so it must be pretty rare…doubtful it would happen to you again
Good luck!