Your problem is to do with windows file allocation.
I assume you are using mp3 files here, so I'll base my answer around this.
Open up your 'my music' folder and click 'tools/folder options' and click the 'file types' tab.
In the box there, you will see all of the known file types that are currently registered on your system.
Scroll to the 'mp3' entry and you will see the program that windows will open by default for that particular type of file.
Click the 'change' button and reset your mp3 files to use the media player of your choice, making sure you have check marked the 'always use the selected program to open this kind of file' box.
By the way, you may have been better off posting your question here:
https://www.microsoft.com/windowsxp/expertzone/newsgroups/reader.mspx?dg=microsoft.public.windowsmedia.player&lang=en&cr=US You will get a much higher chance of a reply.
You're posting a question about Windows Media Player on a Bullguard antivirus forum.
Cheers..
Big Liam :)