Several features of Media Player require Internet Access e.g. MEDIA GUIDE. When you click on a media file it open Media Player and If you have selected it to open with the Media Guide it prompts you to go on line if you are not already.
You can deselect the option.
Open Media Player TOOLS > OPTIONS > PLAYER Tab and under Player Settings deselect "Start Player in Media Guide"
For further info go to help and in index type Internet. Follow links to WORKING OFFLINE.
The other one to check is FILE > WORK OFFLINE deselect that as well.