Hm just tried and you are right. After monitoring with Process Explorer I found out that wmplayer.exe was looking mf.dll before it crashes. After copying mf.dll from Windows Server 2008 including Desktop Experience to the Windows Media Player folder it turns out that if you want to execute regsvr32.exe mf.dll you also need mfplat.dll to register mf.dll succesfully, however after copying that file and registering it still crashes while looking for some WMI registry key. Try it yourself with Sysinternals Process Explorer and set as filter Process Name | is | wmplayer.exe | Include. Start monitoring just before you open some media file via the open item in the file menu!
Arris, I think you are talking about Process Monitor rather than Process Explorer.