I did all the MTU "required" updates
before installing 4.03 first (all Windows updates including SP3, IE7, graphics card & HP). I didn't want to take any chances.
I decided to stay with WMP-9, after reading all the problems people were having with WMP-11 on earlier versions (4.01 & 4.02). It even says in the Manual that only WMP-9 or higher is required for XP, so it depends on your machine. Then I finally got the nerve to upgrade to 4.04 (after reading what everyone else had to say first
).