The "To use Windows Media Player, log off from Windows, log back on, and then start Windows Media Player" problem can be solved by re-installing Windows Media Player.

Just try to remove it first and then install one more time.

If you need to download it, please note that Microsoft offers only The Media Feature Pack which includes Windows Media Player 12. And it is huge - 271-563 MB.
M$ knows how to make everything bloated. I wish they were able to develop high quality products instead.