Open the start menu and type 'features'. Click turn windows features on and off. There should be a category 'Media Features' in the list that appears. Expand that, and check Media Center and click OK. If it was already checked, uncheck it and click OK, then go back, check it again and click OK.
If it still doesn't show up after this, does opening Start -> Run -> "%programfiles%\Windows Media Player\wmplayer.exe" start windows media player? If that starts it, you're just missing the shortcuts.