Do a search of your HDD with " *.mp3, *.wma " entered in the search for line, and direct it to search your HDD ( C, or C & D, etc.).
This will tell you if and where the bashful music files are. You may need to right click the background of the search window and change the view to Details to show the path.
Also, wmp is just the Windows Media Player, and you can set it to be your "default" player for opening music files, or the player your computer always uses to play mp3s.
Wish is making a joke that'll take around 6 to 60 months for you to get, depending on how involved you get in the tech side of computing!
EDIT: You may want to install a different media player; this is the one I use, as it's less intrusive on your system privacy. Just open it up and drag an mp3 to it.
http://www.divx-digest.com/software/...r_classic.html