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Right-click it in Task Manager, select End Process, and once it's shut down you should be able to start Media Player as normal. If you find one, and there's no window, then it's probably crashed.
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If you find Windows Media Player won't launch, then, fire up Task Manager, click the Processes tab and look for a WMPlayer.exe process. Then, when you come to restart the program, nothing will happen because it's blocked by the crashed copy in RAM. Occasionally it'll crash without having any visible window, though, so you won't see there's a problem. Windows Media Player is known to crash from time to time (you may have noticed this).
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