Windows media player not stopping

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Iam using windows vista and when i open a movie in the windows media player and when i try to close the media player using the close button , the media player is disappearing but the sound of the movie is still continuing even after closing the application, even the application is not listed on the task manager. Does any one also experienced the same problem which im facing and let me know how to solve this problem. I guess this might be one more bug in vista!!