I was clicking WoW forums and found this thread  on EU forums about performance increase just by having Windows Media Player opened (and not playing anything).
At first I thought its some sick joke… but I tried it on WoW myself… it did work. In FFXI, some aspects were improved too, especially the login process (like pressing the play button etc). I can’t tell if it improved in-game but… its worth a try!
A little research yields these things. The below are from Wikipedia about Hardware Overlay .
When running a high-bandwidth video application such as a game or a movie player, the computing power and complexity needed to perform this constant clipping and checking negatively impacts performance and compatibility. To escape these limitations, the hardware overlay was invented.
An application using a hardware overlay gets a completely separate section of video memory that belongs only to that application. Because nothing else uses it, the program never needs to waste time considering whether a given piece of the memory belongs to it, nor does it need to worry about the user moving the window and changing the location of the video memory.
So why WMP? Apparently WMP is one of the few programs that actually uses something call Multimedia Class Scheduler Service, which is a thread scheduler service (think of it like HT).
Quoting from Wiki again from Multimedia Class Schedular Service .
Multimedia Class Scheduler Service (MMCSS) is a Windows service that boosts the CPU as well as I/O priority of a thread. It allows an application to get prioritized access to CPU for time-sensitive processing (such as multimedia applications) as well as prioritized disc access to ensure that the process is not starved off data to process. The MMCSS service monitors the CPU load and dynamically adjusts priority so that the application can use as much of CPU time as possible without denying CPU to lower priority application. MMCSS uses heuristics to determine the relative priority required for the task the thread is performing and dynmaically adjusts priority based on that. A thread must invoke MMCSS explicitly to use its services by calling the AvSetMmMaxThreadCharacteristics() or AvSetMmThreadCharacteristics() APIs.
MMCSS is used by the multimedia applications in Windows Vista, including Windows Media Player and Windows Media Center to provide glitch-free audio playback.
So… usually your PC kinda spreads out the CPU load to different program but if you open stuff like Windows Media Player, it ensures WMP gets highest priority and background app only gets a certain %. So having WMP kinda opened changes this behavior and puts all CPU load into your main application instead, in this case your game or whatever.
Again this is on WoW forums , it doesn’t appear to really work for FFXI but I could be wrong (was testing it in Whitegate), it did work for WoW though, like I could really see a dramatic difference.