Whenever you use Windows Media Player on the Internet to collect media information or to download any music file, the player searches the internet for the information you required. Like if you are using a new CD it searches the information, such as song titles and album art. It is quiet useful but basically, it also give the information about the version of player to the site from where you are collecting information. This happen because, the server uses the player to monitor your connection. By monitoring your internet connection, the server can make some changes in order to improve your playback quality and the regular alerts or update's that occur when you are receiving streams over the Internet.
If you really don't like to have this extra information's here's the way to avoid it.
In the Menu bar of Windows Media Player go to Tools menu > then Options and click on the Player tab.
On the tab that denotes Allow Internet sites to uniquely identify your player? Turn it off.
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