The add/remove Windows components refers to things like WMP, Internet Explorer, and anything else that comes included with Windows. That has nothing to do with 3rd party programs you install separately.
In Vista you now see the option to disable but not remove various items. On XP WMP 10 turned out to be the best version of the Windows Media Player while 11 was a flop! At least there you could remove WMP 11 in the add/remove Windows components section along with one main registry key to see WMP 10 go right on afterwards.
No more visualization screensavers running while you are playng audio tracks in 11. Im both XP and Vista alike WMP11 no longer sees codecs for dvds and various video file types. For Vista MS encourages you to buy one of two programs like Cyberlink's PowerDVD or Roxio's own media player.