[Regtweak, WMP9, and Privacy pompts, oh my]

Maybe this will help you out:

Go here

http://www.microsoft.com/windows/windowsmedia/enterprise/deploypack.aspx

and get the Enterprise Deployment Pack for WMP.

This allows you to create a custom msi installer package for WMP9, with whatever options you want..

I haven't tested it yet, but according to M$, it will work. . .