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But why the heck should anyone skip the Windows Media Player configuration wizard? Well, just image this scenario. You are the administrator of a computer (or many computers) used and shared by other users. Independently from the fact that you have already configured WMP, the same configuration wizard will appear to each user who will be able to set their private settings, independently from what you did. If you want to prevent all this because you wish all users to have the same configurations you previously set for your account, here is a hack to apply. 

1. Click Start.
2. In the Search box, type regedit and press Enter.
3. Locate this key: HKEY_LOCAL_MACHINE\SOFTWARE \Policies\Microsoft\ WindowsMediaPlayer
4. In the right-pane, right-click and create a new DWORD, name it GroupPrivacyAcceptance and assign to it the following value 1
5. Locate these key: HKEY_LOCAL_MACHINE\SOFTWARE\ Microsoft\MediaPlayer\ Preferences
6. In the right-pane, right-click and create a new DWORD, name it AcceptedEULA and assign to it this value 1
7. Again in the right pane, right-click and create a new DWORD, name it FirstTime and assign to it this value 1
8. Reboot your computer for the change to take effect.

This hack works for Windows Media Player 11 e 12 on Windows Vista. It may also work for further versions as well as Windows 7 (not tested yet).