You can try to download that latest Windows Media Player (version 9) http://www.microsoft.com/windows/windowsmedia/download/default.asp
If you are on XP do the following:
Do a Right-click on the file.
Click the "Change" button.
This will list the full file name at the top of the pop-up window.
Report back what you see
Click "Cancel" twice to close out of the properties windows