You aren't stupid. This normally happens whenever you get a new media player (of any kind). Anywho, what Windows may or may not ask you is if you want to make it your new "default media player" for all your files. Real Player probably didn't do that, so what you can do is, find a file you would like to open in Windows Media Player, right-click on it, select "open with," and choose WMP from a list and make sure you check a box that says "open all files of this type with this program" or something like that. What that will do is open all (i.e. MP3s) with WMP. That should do it.