I use Mediaplayer 6.4 kuz I don't like it doing that.
It does things like that because:
-Codecs.. if it doesn't have the codec, it'll try to find it.
-WMA and WMV files may require authentication before you can view them, because they can be limited to a certain machine, or time limit or number of views/listens.
-you probably havn't read the EULA, so you don't know what kind of things it can tell microsoft about you and what you do with media player
