By Windows Media Player object, are you referring to a .wmv file?
If so, you don't need to insert Windows Media Player into your presentation.
All you need to insert is the video file itself. (Note: the file is linked,
and not embedded. Thus, you must distribute/share your video file along with
your PPT presentation.)
1. Go to the "Insert" tab on the Ribbon.
2. In the "Media Clips" group (far right) you'll see "Movie." Click on the
little down arrow. Select "Movie from File..."
3. Navigate to the folder where your video is. Select your video from the
list, and click "OK."
You'll have the option to preview the video right after you insert it.
I hope that helps!