[sesame]

You can stop media player from keeping records of your media files.
Open Windows media player, click Tools--> Options --> Privacy.
Now untick the box that says,
save file and URL history in the player

You can do a better job of controlling the software by reconfiguring the registry hive using regedit. Regedit can be opened by simply typing regedit in Run. Warning: You can really mess up Windows if you Tweak something you shouldn't.

But other than that, you can have fun by hacking your windows operating system. Hacking here is like customising Windows, its nothing malicious.