It could be other media players are set to be the default player for file types. If this is the case they attempt to steal them back each time you open them.
Go in to the options of each media player you have on your computer (itunes, quicktime, musicmatch jukebox etc...) and clear all file associations from your players. After doing that then go to WMP and set it be your default player for whatever file types you choose.
The file associations should stick at this point because nothing else is trying to take them back.
There is no justice, there is just us.