When you play content in Windows Media Player, it keeps track of the files and URLs that you have played videos and music from. It also keeps caches of those content. If, for, ah, whatever reason, you have things on there that you'd rather not have everyone know about, you need to make sure you erase this information. You can clear it by starting Windows Media Player and going to Tools > Options > Privacy. You'll then see buttons to clear the history and the cache. If you don't like having your history recorded, you can also uncheck the box next to "Save file URL history in the Player" and it'll no longer keep track of where you've been.