If you have a sound card with onboard effects software (say, a Creative Soundblaster), then it may have a reverb facility that, if selected, will largely stay on indefinitely. WMP may have control over such things and automatically designate 'all effects off' before playing anything. If this is the case, you will need to examine your sound card software for any traces of 'effects' or 'FX' programmes, and then disable any reverb. Hope this helps!
I think Uncorrect's right, if you've got a Creative soundcard they usually come with something called EAX. You might have enabled some effects without realising it. Open Audio HQ and have a look at the sound mixer. If you set EAX effects to "none" then your echoes will more than likely vanish!