That alert is because of Blink's Internal Application Protection Engine, that eEye named "Kevlar". There was something running via Window's Media Player that Blink did not like and it stopped it just to be safe about it.
How often does that occur? Do you remember when you got that alert and what you may have been doing at that particular time? Did it occur when you played a certain file with the Media Player, or did that happen just out of nowhere?
Me personally I would NOT exclude Windows Media Player from Blink's Application Protection engine. I would try to round it down to what is causing that alert in particular. Reason being Window's Media Player is a big vector for a lot of media exploits that attempt to invoke buffer overflows, etc, and simply excluding it because you have an annoying alert for a few instances here and there is risky in my opinion. If one day you do happen to stream a malicious online video or download and run a malicious mp3, media file etc Blink will not stop it at the Application level at that point if you add it to the exclusion file that is noted above (apiex.ini).
See if this post helps you make sense of that alert and helps you resolve it:
http://forums.eeye.com/forums/p/54/140.aspx#140