Welcome,
I will try my best to turn that sad face into a smiley one.
First go to search and type the name of the program, Windows Media Player.
If it is not there just try a system restore. Go back about 3 or 4 days before the date that it disappeared, it will be back http://www.vistax64.com/tutorials/76905-system-restore-how.html
Let us know, when you find it. We should try to find the cause so it does not happen again. Go to event viewer and look for any errors or warnings that could explain the problem.