This is one of those unexplainable pain-in-the-butt issues that I haven't found an adequate solution for. I will add it to the list of "known issues" in the source. In some cases, you even get the same result with QuickTime. The thing is, it only happens with some videos while other videos play just fine. However, I've never seen this problem with Flash, which is why I recommend that you always use Flash video (if you can) instead of WMV or QT.
If you take a look at the source for the "wmp" player, you'll see the following lines:
try{
window[id].controls.stop(); // stop the movie
window[id].URL = 'non-existent.wmv'; // force player refresh
window[id] = function(){}; // remove from window object
}catch(e){}
This is the best I could to to try and get WMP to stop playing the audio. If anyone has a better workaround for this, I'd be happy to take a look.