I am as well having the same problem, however, it seems that it is not a problem with Windows Media Player. When I get the message "Windows Media v9 is not installed on the system. Do you want to download and install it now?" I expected it to download Windows Media Player, however, it is connecting the the Media Center web site and trying to download and run enc_wma.mjp which I assume is installing the Windows Media Encoder plug-in for Media Center. Looking in the plug-in manager on Windows Media Center shows the plug in installed and the version is 2.0.34. I also can find an enc_wma.dll file on the system in the plug-ins directory which I assume is the plug-in for this encoder.
I am running Media Center version 9.0.124.0 on Windows XP SP1. I have not upgraded Windows Media Play from the version that comes with Windows XP (I didn't anticipate using it). So I'm not sure if I need to do that or not or if I'm having a different problem. Previously I was running a beta version of Media Center on Windows 2000 without any problems. Of course like an idiot I deleted that version when I downloaded the new verion so I can't go back to that and see if that is the problem... mp3s seem to play just fine, but it doesn't like wma.
I'm very new to using Media Center and don't know if it interfaces with Windows Media Player or not.
Any thoughts on how to fix this problem?