Have you closed it completely, or just X-ed out? I think WMP keeps running unless you actually exit through its menu (it's so you can have music playing without your taskbar being cluttered)
If that isn't working, bring up task manager, go to the processes tab and find its process (I THINK it's wmplayer.exe, but I haven't used media player in a while), then right click >> end process
If that isn't working, bring up task manager, go to the processes tab and find its process (I THINK it's wmplayer.exe, but I haven't used media player in a while), then right click >> end process