The WMP database can be found in:-
Documents & settings>your login name>local settings>application data>microsft>media player> File is "current database_59R.wmdb."
You can delete it and start again if you wish, or give it a different ext and leave it on your HDD.
If you can't find it by the method above, do a search using "*.wmdb" as the criteria for the filename.
Hope this helps, Toxin