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Fair enough, but I don't agree with the comment about a firewall not being able to stop this. There is nothing to stop you configuring your firewall to allow download/streaming data by Windows media player only from trusted sites. In addition block all outbound traffic from it - after all why should it be sending potentially personal data from your PC to MS ??
I use Windows media player occassionally, and that is how my firewall is configured.
And what MS have done with their media player is no different from the home version of Windows/XP ....
I think the moral is that if you want to run MS software, make sure that your firewall is configured correctly.