Jeroen Ritmeijer has a blog post about turning off the nag screen that asks you to reboot every 10 minutes after installing a patch through Windows update.  The update involves making a change to the group policy for the local computer.  In spirit of that, here are a few more things in the group policy relating to the Windows Media Player that I like to change:

Prevent Windows Media DRM Internet Access:

Local Computer Policy -> Computer Configuration -> Administrative Templates -> Windows Components -> Windows Media Digital Rights Management -> Prevent Windows Media DRM Internet Access = Enabled

Prevent Shortcut Creation:

Local Computer Policy -> Computer Configuration -> Administrative Templates -> Windows Components -> Windows Media Player -> Prevent Desktop Shortcut Creation = Enabled

Local Computer Policy -> Computer Configuration -> Administrative Templates -> Windows Components ->  Windows Media Player -> Prevent Quick Launch Toolbar Shortcut Creation = Enabled