As Jack said it is window media player on the running list when you wake up the phone. Please note that on WM phone, the x on the upper right corner does not end the program, it only minimizes it in the background. If you want it to truely kill the process, a couple of programs, such as Memmaid 2.0, spb pocket plus 3.2 can do it for you to kill the process at the default location. If you want a free one, get it
HERE.
Jeff