I don't use Windows Media Player, but I think that is a service that
runs from this executable:
setup_wm.exe
I will guess that this is related to the unique number that is assigned
to the player on your computer. This is in order to uniquely identify
your player to websites, I guess. Maybe it only wants to run once,
keeps trying to, but is blocked.
I can't guarantee that these will work, but you could try to:
1) Turn off the option for a unique id in WMP.
2) Go into the WMP File menu, and set it to work offline. But then your
browser might also think you're offline.
3) More drastic (Windows 2000, XP only) go into Control Panel,
Administative Tools, Services, and disable that service, whatever it's
called, if it even is a service.