There is no embedded player in the web interface. When you start playing from the browser (click on a track, click "Play all" etc), an M3U file is sent from the Subsonic server to the browser. Depending on how your browser and OS are configured, this will trigger a player (such as Winamp or WMP) to start playing.
In your case, it seems like there is no configured association between M3U and WMP in your Windows config, and the M3U file is somehow loaded in the middle frame of the web interface.
In WMP, please check that "MP3 audio file" is selected in Tools > Options > File Types.
Hope this helps
Sindre