Delete the shortcut by right clicking on it and then choosing Delete from the menu (I presume it's on your Desktop or in Programs) and then go to My Computer>Explore>Program Files>Windows Media Player.
You can test if wmplayer.exe works as it should by double clicking on it. If WMP opens then create a new shortcut by clicking on wmplayer.exe and dragging the link to the Desktop. You may wish to rename the shortcut to Windows Media Player; simplest way is to right click the shortcut and choose Rename.
If this doesn't work then you will probably have to run setup again from the Program Files WMP folder.