The best way is certainly to get rid of wmp

Try to use VLC player (get it here): it's free, it doesn't need to install any codec, and actually you can use it as a portable software (i.e. no installation is needed: simply download the zip package and unpack the archive on any folder, also an USB pendrive).

btw, if you still want use wmp, usually it try to download all needed codecs automatically, Check if your firewall is blocking it preventing the automatic update