Is there a blank space on your toolbar that looks like the WMP in mini mode would fit in? When you right click on your taskbar and select toolbars, do you see the media player option? What is it not doing exactly?

edit
I also found this on another site:

I got mine to work last night after about an hour of messing with it.
What I did was to uninstall both HOTFIX's and then I went to Microsoft downloads and redownloaded the entire thing again and reinstalled it. this worked, DO NOOT USE THE WINDOWS UPDATE VERSION of WMP9 it doesn't work this was from the microsoft downloads site itself.
GOOD LUCK!!