When you run Windows Media Player version 10 for the first time, and finish the initial configuration process, the Windows Media Player shortcut icon disappears from your desktop.

To workaround this behavior:

1. At Start / All Programs / Accessories / Entertainment, right-click Windows Media Player, and press Copy.

2. Right-click an empty area of your desktop and press Paste.

NOTE: You can also use the follwing command in a CMD.EXE window or batch script:

Copy "%UserProfile%\Start Menu\Programs\Accessories\Entertainment\Windows Media Player.lnk" "%UserProfile%\Desktop\*.*"