A number of users have reported a problem in which Windows Media Player 11 continues to play after it has been closed. Specifically, users continue to hear audio after the window containing the previously played media file is closed. The most common fix for this issue is as follows:
Check for errant processes Some problematic processes can keep Windows Media files playing after they are closed. Download and install Process Monitor and look for processes that are inadvertently reactivating Windows Media Player. Some users have found that Mobile Sync utility, media sharing utilities or Web browsers can cause this issue. Filter the results in Process Monitor for those that mention C:\Program Files\Windows Media Player\wmplayer.exe.
Other media playing software, such as Realtek, may be to blame. Try temporarily installing such software and checking for alleviation of the issue.
Try it and see for yourself, it worked for me.