***Update*** Apparently Windows Vista SP1 will have a bug fix for this problem… I wait with baited breath (cheers dan)
I have this weird problem with windows mediaplayer on Vista home premium….. Sometime i will listen to a mp3 file and when i hit X to close it will stop, other times it won’t! The Music just keeps on playing! 
So then i have to go through the tedious task of opening task manager and then ending the process… This happened to me today and i thought hang on could i use a desktop shortcut, a batch file and sysinternals - pskill to just double click and kill it as a temp measure until there is a proper cure!?
So i got to work and made this. PSKillWMP
Install it then drag the shortcut to your desktop. Next time you close Windows Media Player 11 and it carrys on playing just double click and boom… wmplayer.exe process terminated!!!
Note: For vista and wmplayer 11. I expect you could extract files and have a play yourself… but the installer is taylored to Vista Home Premium and WMP11. If you want me to make an xp installer leave a comment with you email address and ill make you one.
As it turns out this a new feature, I was having the same ‘problem’. Turns out you just have to stop the media playing before closing!
Good feature once you start using it, used to bug me like mad now its my best friend!
now with vista sp 1 which is in beta version it solves the problem with windows media player
Got sp1 it didn’t fix it same problem