If anything happens out of the blue you should check for malware (eg use Spybot, Ad-Aware, NAV).  Applications usually don't suddenly modify their behaviour.  If startup was accidentally scheduled, look in the following places:

Startup folders.  Right click Start, Explore All Users, Programs, Startup.  If a media player shortcut is there, delete.  Check the startups in the user folders too.  If this cures the problem omit the next procedure.

Left click Start, Run, type in msconfig.  Look in Services and Startup.  If the media player appears in either, uncheck.  When you reboot, check the box in the dialog that appears so it does not appear again.