When you install Windows Media Player, an update feature is also installed. You can check for updates whenever you want. If updates are available, you can minimize the download time by downloading only the portions of Windows Media Player that you want to update. If you want to completely reinstall Windows Media Player, you can use the update feature for this too.
Windows Media Player checks for upgrades once a month by default.
You can check for an upgrade whenever you like by clicking Check For Player Upgrades on the Help menu.