This isn't actually a bug with Windows Media Player, but with the Microsoft website for WMP. The download page for WMP is at:
http://www.windowsmedia.com/download/download.asp
If you try to download WMP for OSX using Explorer it works fine.
But if you try it with a different browser, such as Safari, you'll notice that the download URL is screwed up:
To fix it, you need to first pull off the redir script at the front that doesn't seem to work for other browsers (or at least Safari):
And then you need to pull off that '%20' (the URL encoding for a space) that I'm sure they just mistakenly put on the end there..:
And now you can finally download WMP.
Interesting that you can only download it with IE.
Hrm.
WMP is a Microsoft product
IE is a Microsoft product.
Nah, I'm "sure" it's just a coincidence.