I have been asked many times now, how to put the windows media player on my MSN Space. Here are the instructions and if you want to learn more visit this website. There are a lot of things you can do it just takes some learning.
PowerToys are here!!!
Windows Media Player PowerToy:
The Media Player Power Toy is designed to allow you to play audio and video files within your Space. While editing your Space specify the URL of a Media file located on the web in the Media Power Toy and hit Save. This will allow the people viewing your Space to watch or listen to the media file you have linked. You can customize the experience even more by altering the player settings (like auto start, times to play, and player mode) while editing your Space.
Please note that this PowerToy, like the others, is available in English ONLY for now and is UNSUPPORTED.
Follow these steps to add this Power Toy to your Space:
PS: oh one more thing, you will need to have your videos or music hosted somewhere on the net. I have been using www.filelodge.com, seems to be a decent one, and it's free.