It sounds like somehow Windows (I assume you're running
Windows) has decided that there is a second monitor hooked to
your machine. Find a clear patch of your desktop and right-click
in it (or choose the pale blue desktop icon to the right of the
Start menu), and bring up the Monitors control panel.
If you're running Mac OS X, if you have a Monitors menu on your
bar, choose "Detect Displays" and the Mac will fade out and back
in, now reflecting the screens currently hooked up. If you don't
have the Monitors menu showing, just pick "Monitors" in System
Preferences, and Detect Displays there.
(back to PCs:)
Under the Settings tab, choose the second monitor by clicking
on it (it should be shown beside your main monitor), and there's
a checkbox "Extend my desktop onto this monitor". Uncheck that
box so all your desktop is forced to fit on the main monitor.
If there's only one monitor configured on your system, and only
one monitor physically hooked up to your computer, I guess
you've found a bug in WMP10. A properly written application
should always put at least some of its window on the existing
desktop when it loads.