Music files aren't '
in' Windows Media Player (or, indeed, in any other program). They simply sit in a folder on your computer that can be accessed by WMP (or an alternative player). So start by making sure that you know where that folder is. (It's possibly just the 'Music' folder within 'Libraries', or one of its subfolders).
Then . . .
Go to the Youtube page where the relevant video is.
Right-click in the address bar (to highlight the URL).
Select 'Copy'
Go here:
https://www.onlinevideoconverter.com/mp3-converter
Right-click in the 'Paste here' field.
Select 'Paste'
Click 'Start'
Once the conversion is complete, click 'Download'
When a dialogue box opens, select the 'Download' option and click 'OK'
In the next dialogue box, navigate to where you want the file to be stored. (If your MP3 files are simply in your 'Music' folder, all you have to do is to click on 'Music' in the left-hand panel).
Click 'Save File'
Your music file will now be accessible to Windows Media Player.
[NB: Stream-ripping (i.e. saving video or audio from Youtube) is ILLEGAL and costs the music industry billions of pounds each year. I generally only do it for music which isn't easily obtainable by paying for it, e.g. audio of school choirs singing or music tracks which are only sold in Asian countries]