Do you mean you've removed it from the vertical list of icons that appear on the start menu (and not the horizontal taskbar icons?). If so, that list is rebuilt automatically based on your most recently used programs. If you unpin WMPlayer from the start menu and just load it manually each time you use it, within a few days it will appear back on your most recently used icons list.
Alternatively, you can use system restore to go back a few days to when you had it working (don't try this if you've changed many other things since then though, as they will also revert back).