My advice is to ditch WMP (meaning simply don't use it. You can't uninstall it as far as I know) and use something better. I use Media Player Classic. Look for the K-Lite Mega Codec Pack (Which includes Media Player Classic). This thing plays just about everything. DVDs, Divx, FLV, Mpeg, WMV whatever. And it has some very useful filters. There's a bit of a learning curve but it's not bad. WMP 11 is just a godawful mess.
I believe there is a setting in WMP to tell it not to look for media but for the life of me, I can't remember where it's located. Hopefully someone can help you out.
I think, maybe, you can prevent this by simply associating all of your media files with another player. If they're associated with WMP, that's probably why WMP starts indexing them when they show up on the system. But there still probably is a setting to tell WMP to behave.

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