I found this from a web site. it's easier to repeat it here but the web site is below;
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Main menus
There are two options for the format of the main menus:
* A new style pop-up menu.
* A conventional menu bar, which is referred to as classic menus.
Both these formats contains bugs in their keyboard navigation, but the bug in the classic menus is more severe, and so it's recommended that you use the new style pop-up menu, which Windows Media Player uses by default. If you want to change between the two formats, press CTRL + M. The two menu formats are described in the next sections.
New style pop-up menu
* Press ALT to open the pop-up menu, which contains sub-menus for File, View, Play, Tools, and Help. As usual you can open the selected sub-menu by pressing RIGHT ARROW or ENTER.
BUG WARNING: The first time that you open this pop-up menu after you have logged into the computer, none of the keystrokes for navigating the window work. However, if you press ALT + TAB the pop-up menu closes, and if you then press ALT, the pop-up menu works correctly.
* To close the pop-up menu, press ESC.
* To directly open the File menu, press ALT + F as usual, and similarly for the View, Play, Tools, and Help menus.
Classic menus
There is a severe bug in the keyboard navigation of the conventional menu bar. If you press ALT to move to the menu bar, then the two standard keystrokes to leave the menu bar, ALT and ESC both don't work. There are work arounds, but it's easiest to use the new style pop-up menu.
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http://vip.chowo.co.uk/wp-content/uploads/jaws/Windows-Media-Player-11-Guide.html#main-menus
Mark