Look to the left for the Windows Setup Add/remove. Then when you're in, look for Windows Media Player. Unselect it and choose ok to remove it.
This brought the question to mind. I see: Description: Adds or removes access to __________________ from the start menu. Since I don't use Windows Messenger or Outlook Express, to name a couple, I have wondered about the overall effect of this feature. I always figured I'd foul things up if I pursued removing Windows components from more than just the startup menu, but I've considered it. (I just haven't pursued the right unbiased KB, I guess)