Being that WMP11 is still in Beta there are going to be prolbems with it. It isnt a final product that has everything fully functional.
I have noticed that WMP11 does take up some CPU but even when i have a video going it does take 50%. What are your specs? Maybe they are just a bit low for what you are trying to accomplish.
computer uses a core duo processor at 1.85 GHz, mem is 1GB 533MHz. OS is win XP SP2. it has an Nvidia Geforce Go 7400. The drive is 80GB partitioned as 40GB Win Xp, 20GB swap, 20GB Linux.