Since I recently attended a presentation about downloading music and using software to play it, I was interested in this and just now visited walmart.com to see how I could listen to music samples. What I learned is that you need to install "Walmart Music Downloads Store" software. It's about a 4MB file that installs automatically once you give the OK while on their website. You'll need to allow and ActiveX control to run in Internet Explorer, and you do need to use Internet Explorer (support for Firefox is forthcoming, but I did not a date).
Once you've done this, you can listen to samples by clicking on the speaker symbol next to song titles on their website, as shown in the following image:
So, Media Player has nothing to do with playing samples. Once you've purchased and downloaded music, then you can use Media Player or your preferred player to play the music.