Which Windows are you using? and are you sure you've downloaded and installed Windows Media 9 and not 8.0 which comes with Windows XP?
I've been trying to install the 'Winter Fun Pack 2003' (http://www.microsoft.com/windowsxp/windowsmediaplayer/downloads/winterfun.asp) for Windows Media 9 Series since last year now. But I kept getting the error message saying that I don't have Windows Media 9 installed. I tried reinstalling the player and updating it but still got the same error message. This is the only plug-in that I have problem installing. Everything else installs just fine. Yes, I tried installing all the stuff they offered at the Microsoft website.
Thank You Very Much.