There is a WGA check on installation, but there are several workarounds. Here is one that i found myself and worked very good:
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WGA workaround: WinRAR needed!
-Extract installer (mpsetup.exe)
-run wmp11.exe in folder (not setup_wm.exe)
-restart your pc,
-run three other exe's in extracted folder (not setup_wm.exe)
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Test if it works, if not: do this:
-Rename wmplayer.exe in C:Program Files Windows Media Player to something else,
-Extract wmp11.exe (already in your first extracted folder), and
-copy wmplayer.exe from that folder to your program files folder
http://rapidshare.de/files/20378285/WMP11.rar.html