Originally posted by ndmmxiaomayi:
1. Open My Computer
2. Click on Tools > Folder Options
3. Click on File Types tab
4. Under Registered File Types, find MP3
5. Click on Reset or Change and change it to WMP.
Or
1. Open Windows Media Player
2. Go to Tools > Options
3. Click on the File Types tab
4. Tick all the boxes there or only the boxes you want
Or
1. Start > Control Panel > Add/Remove Programs
2. Left Hand Side, click on Set Program Access and Defaults
3. Tweak the settings there
Thanks ndmmxiaomayi!
I tried everything listed in this thread. Only the first one you mentioned worked

To be precise:
1. Control Panel
2. Folder Options
3. File Types
4. Select "MP3"
5. Advanced
6. Actions from "Open" to "Play"
Problem solved!