The drop-down menu that included File, View, Play, etc is now known as the Classic Menu, which is hidden by default. Instead they just give you the most basic options to make it more visually appealing. However, it's all still there. Just right-click the title bar at the top and you'll be presented with all of those options from a right-click menu. You can then go File->Open. You can also use the shortcut ctrl + O. If you prefer to have the old menu displayed, right-click the title bar and go View->Classic Menus, or press ctrl + M.
Hope this helps,
P.S. This also goes for WMP11, which is currently in Beta testing.
Okay, I'm a little behind the times. I've primarily been using Music Match Jukebox to play all my old Napster and Kazaa downloaded MP3s before those sites were "re-invented".
I don't use MP 10 much, but thought I'd give it a try. It supposedly identifies "all music" files on my hard drive, but only identifies half of them. So, I went to look for the handy File>open that was in the earlier versions of Media player to manually load the files, and I couldn't find one?
Does that manual feature not exist in MP 10 anymore?