What threads have you read?
Post links please.
First off.. you would probably need to use an Arduino that is capable of acting as a HID (human input device)..
*(like a mouse or keyboard..etc)
this will allow you step 1 of having your external device/circuit be able to communicate with your PC
The next bit/step is a bit tougher....
How do you start, control and set a file for WMP to use?
Is there an API? Some sort of shortcut you can do this on your PC (without an Arduino?)
Alternately.. a regular Arduino (UNO) sending data via serial port to the PC could also work..
however. you still need an interpreter app and a way to send these actions to the WM player..