I guess you have installed some power toys for Windows Media Player, maybe by yourself or by the Automatic Update feature.
These allow WMP to hide itself in the taskbar icon.
See if any tray icon relating to WMP icon appears in the taskbar.
If its there, then right click it and uncheck "Hide Media PLayer" or check "Show Media Player".
If its not there, then maybe your player has got into the Skin Mode.
However, inspite of skin mode, you should be able to see it in some corner of the screen.