Privacy statements from most organizations are almost identical. They all pretty much want your personal information, such as email, browsing habits, and other data that helps them market their products, and in some cases enhance your experience.
However, when you read the fine print you may wonder if there's anything that's really guaranteed to be private on your PC. If you really want to know what I mean, check out the Microsoft Online Crash Analysis data-collection policy for the error reports that you send to Microsoft over the Internet. (I discuss error reporting in the article "Tired of Windows XP Phoning Home?") First, read about the types of data collected. Then read the section "Who has access to error report data." The information you provide is shared with "Microsoft employees, contractors, and vendors who have a business need to use the error report data.... If the error report indicates that a third-party product is involved, Microsoft may send the data to the vendor of that product, who may in turn send the data to sub-vendors and partners."
Obviously, you don't have to use Windows Media Player. You can use another third-party product, but be sure to read the fine print in their privacy statement. You may find that their privacy statement is not much different from Microsoft's.
For More Information
Here are some links to privacy statements that you may find helpful:
Like several other corporations, Microsoft is a member of the TRUSTe Privacy Program. TRUSTe is an independent, nonprofit organization, and it reviews privacy policies to ensure that each policy conforms to TRUSTe standards. All other companies mentioned in this article are also members of TRUSTe, except HP, which conforms to the Better Business Bureau's online privacy program because HP is the founding sponsor of the BBBOnline Privacy Program.