You can go into the add/remove windows components and un-check the media player box. this will disable any function of media player, and although it might not remove it it will stop it's functionality
click here it involves removing SP2 and personally I would not bother with all the faffing around...just use winamp or similar...'Windows Media Player is an integral part of Windows itself. It's used in Windows Explorer, Internet Explorer, and with pretty much every other part of Windows that uses media. Even if you were to uninstall it all the way, you'd likely not be happy with the way the system ran after that, because many things would no longer function properly.'