I believe you mean you would like to minimize WMP to the system tray instead of the task bar. If that's the case, I have just the thing for you. WMP doesn't have the option by default, but you can download the Windows Media Bonus Pack for Windows XP by clicking here, then follow the instructions available here.
Hope this helps,
I find the "mini player toolbar" that appears on the taskbar when you minimize Windows Media Player very annoying. Is there a way to disable it?