The best option may be to install the latest version of Windows Media Player
Otherwise follow the steps below:

1. Reboot, does Windows Update still show the need for this update?  If not you are finished

2.  Insure Windows Media player is not in use, reboot if necessary.

3. Go to Add/Remove Programs
Look for "Windows Media Player Hotfix...828026..." (it is NOT with the Windows XP Hotfixes)
Click it so it is highlighted.
Click "Change/Remove"
Follow prompts to uninstall.

4.  Still in Add/Remove Programs.
Click "Add/Remove Windows Components" on the left side.
Uncheck "Windows Media Player"
Click OK and follow prompts.

5.  Start/Search
Click "All files and folders"
Type "wmp.dll"
Click "Search"
Delete all copies found 

Back-up the registry before you start just in case a mistake is made.

6.  Start/Run
Type "regedit" ENTER
Navigate to the following registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Updates\Windows Media Player\wm828026
Highlight "wm828026" or sometimes "Q828026" then hit "Delete"
Acknowledge the message.
Navigate to the following registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Updates\Windows Media Player\SP0
Highlight "SPO" then hit "Delete"
Acknowledge the message.

7.  Reboot

8.  Start/My Computer
Double click C
Double click Program Files
Double click Windows Media Player
Double-clicked 'setup_wm.exe'
Follow the prompts to install Windows Media player.

9.  Reboot

10.  Disable all unnecessary applications including antivirus.

11.  Go to Windows Update and install all updates and only updates related to Windows Media Player.
If other updates are needed get them later after a reboot.