You can do this fairly easily for local file playback, but doing 
this for HTTP playback will require tripping out the Windows Media 
Player's Formats dialog as well as disabling progressive download.  
HTTP is more complicated since WMP uses OLE to provide progressive download support for the files you play.  This playback method doesn't allow a command-line to be used, and the current version of WMP does not have an AutoClose property.

For local file playback to auto-close, run the attached reg file (
"autoclose.reg").  Then go to WMP's View:Options menu dialog again, 
selecting the Formats tab.  Click OK, and *all* local file playback 
using WMP will now auto-close.

For HTTP playback to auto-close, run the other attached reg file 
("autoclose-http.reg") after modifying "Player.Path" to be the path 
to your WMP installation.  This registry file will completely disable 
progressive download for *all* file types WMP plays as well as causing 
the Formats dialog to display incorrect ownership status, but it will 
cause all files to auto-close after playback.  After you've run this file, 
go to WMP's View:Options menu dialog again, selecting the Formats tab.  
Click OK, and *all* file playback using WMP will now auto-close.



Since disabling progressive download for all file types is an extreme 
measure, you may want to instead simplify modify the registry yourself 
for the file types you care the most about auto-closing.  For each file 
type in question, change the shell\open\command and the shell\play\command 
in the registry from:

    C:\Program Files\Windows Media Player\mplayer2.exe /Play "%L"

to

    "C:\Program Files\Windows Media Player\mplayer2" /Play /Close "%L"