Here's a simple trick to install the latest wmp9 (build 2848) on Win2k: rename the .exe to .zip, then unzip it in a new directory and run "setup_wm.exe" to launch the installation.
This will bypass the message "This version of Windows Media Player can be installed only on Windows XP and Windows .NET Server." that you get on a Win2000 box.
(apparently this procedure also works on 98 & ME.)
Thanks to Binks site for the tip