I think I've encountered that too, and I get a double-popup advertising a spyware scanner. I reinstalled WMP and blocked the installer from accessing the Internet in ZoneAlarm. I'll try to run Spybot S&D when I get a chance.
Ran Spybot S&D as promised and it found something called WildTangent that made a number of changes, not the least of which was a Registry key referencing Windows Media Player. I wonder if this was it...