What you're talking about is minimising Windows Media Player to a toolbar. Microsoft calls this the Mini Player mode, and if you go into Windows Media Player help (F1 key) and search for "Mini Player" it'll explain the following:
1. Right-click an open area of the Windows taskbar (such as below the system clock), point to Toolbars, and then select Windows Media Player.
2. Click the Minimize button.
The first step enables the feature and must only be performed once. To switch to mini Player mode in the future, simply perform step 2.
This feature is only available on select versions of Windows. For more information, see Special features.
For a full explanation on how to use the Mini Player, including excellent screenshots, see the Microsoft article referenced below.
I think that should answer your question. All the best.