Usually, if an installation program runs when a User tries to run MC, it is because the shortcut they are using points to the MC installation program, instead of the "Media Center 25.exe" executable.
As you are seeing an install process when you click on a media file, there are two possibilities;
1. The Windows File Association for the media file type is pointing to the MC installation program.
2. You have an older version of MC installed, and the Windows File Association for the media file type is pointing to the earlier (or just different to what you normally run) version of MC.
I suspect you have problem #2. You are running MC25 normally, but you still have an earlier version of MC installed, and when you click on the media file, the earlier version is launched, sees it doesn't have its version of Direct Show filters registered and runs an install process to register those filters.
Uninstall all earlier versions of MC.
Fix Windows File Associations to point to the current version of MC.