It didn't get installed right, or you installed the wrong thing.

On this page, try installing this if you are using XP. If you are using Vista you may need to do this. Reboot after installing.



Alternatively you could just install something like the K-lite Codec pack, which installs a snootload of things and includes Media Player Classic, which IMO is far better than WMP.

Disclaimer - Be warned that there is a chance it could hose up your machine in terms of what it installs, some games don't play well with it (like FF7, and some older games).