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This can be quite annoying as the only way to close Media player will be by going to the Task Manager and ending the wmplayer process. This problem made me switch to other media players because of not wanting to use the task manager every time I wanted to close Windows Media Player. After searching for the reason of this behaviour, I found that this was due to the Windows SideShow gadget that uses WMP 11.
So this will work in both situations. To remove it, open Cortana and search for Turn on or off Windows Features. You will see an option at the top: If you select the top option, you will see a window open up. From here you can expand the Media Features section, and uncheck Windows Media Player. Then click OK.