An interesting problem certainly.
I've had issues with WMP not exiting properly and having to kill the process by hand, but this takes it to a new low. I exit, and i started to notice that firefox stopped working - frozen. I discovered that it was because the media player process was running in the background and was taking up so much processing power that firefox was lagging.
I've tried ending the process, ending the process tree, disabling the WMP network service, restarting. I don't want to reinstall because i don't think it would do much good. I don't think it's a codec issue either, that usually just keeps the process running - but it doesn't make the process start up straight away again.
After a while sometimes i can just close it, but it's not a good workaround.