Looks like a bug from Microsoft:
(These are very stupid solutions, make sure your OS is completely updated, they may have already generated a fix or are still working on it)
Consider the following scenario:
Microsoft Windows Media Player 11 is playing music on a Windows Vista-based computer.
A Windows SideShow-compatible device is connected to the computer.
The computer is running the Windows Media Player gadget for Windows SideShow.
In this scenario, music continues to play after you exit Windows Media Player 11.
Solution 1:
To work around this behavior, use the Windows Media Player gadget for Windows SideShow to stop the music. Alternatively, stop the music in Windows Media Player 11 before you exit the program.
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Solution 2:
To work around this problem when it occurs, follow these steps to shut down Windows Media Player:
Press CTRL+ALT+DEL.
Click Start Task Manager.
Click the Processes tab.
Click the wmplayer.exe process.
Click End Processes, and then click End process.