Windows media Player looks at file headers and stuff: converts it to a tmp file if the headers do not match the proper file ext, and plays the tmp file.

eg....
>Trying to rename "Aphex Twin - Popcorn(Techno Remix).mp3" to "Aphex Twin - Popcorn(Techno Remix).wma" ends up with WMP doing...
>>Copying "Aphex Twin - Popcorn(Techno Remix).wma" to your temp folder, and renaming the file to "Aphex Twin - Popcorn(Techno Remix).mp3"