Windows Media Player 11 has a Genuine Advantage Operating System notification built into it - which is why I dont download it - has Internet Explorer 7 got the same thing ?
As much as I hate the entire idea of it, if you're using genuine windows then it won't be a problem.
If you don't want to pay for windows or don't agree to the things that WGA does, then perhaps you should use something other than windows... (Ubuntu would be by suggestion).
You don't need the Windows Genuine Advantage to allow you to use IE7. As a response to the popularity of Firefox, MS have taken out the GA checks for installation of IE7.