Click the Start button.
Type 'wmplayer' into the box.
You should see 'wmplayer' appear in the results field above it. Double click on it to run it.
To put a shortcut to it on your desktop right-click on it and select 'Send to > Desktop (Create shortcut)'.
To add it to your Start menu, right-click and select 'Pin to Start Menu'.
To pin a shortcut to the taskbar at the foot of your screen, right click and select 'Pin to taskbar'.
For a media player that's about a zillion times squared better than Windows Media Player download and install VLC:
https://www.videolan.org/vlc/index.en-GB.html
(Nobody in their right mind uses Windows Media Player anyway - it's dire!)