Isn't this caused by Windows sharing media over Workgroup, or DLNA or some such? (even though you're not actually using WMP, Windows is still using it)
You can still run the program even though it's turned off under "Features", at least, it still runs for me here if I launch it directly, and I also have it turned off.
Paste this in the"Run" box: "C:\Program Files\Windows Media Player\wmplayer.exe" and press enter.
Right click on the WMP toolbar and go to "Tools > Options > Library" and turn off all those "Automatic media information updates for files" options.
Then switch to the privacy tab and make sure that, at the very least, the "Update music files by retrieving info from the internet" is also turned off.
OK out, and close WMP, never to return to it, and you should be sorted with regard to the annoying album art files it creates.
-marko