When I go to file explorer, this is what I get. There is no program files. Why would I need to create a shortcut? When do I need it?
The following will not solve your "popup" issue. But since you asked.....
I am using Win 8.1 Preview installed in Vmare player.
So, mine could be slightly different than yours. Even then, it should not matter.
On your screenshot, under Computer, you have a C: drive listed. Click it > what do you see ?
Now if you are using a 32-bit computer, you will see Program Files. Click open it.
If you are using a 64-bit computer, you will see Program files and Program files (x86)
Click open Program Files (x86) .
Either case, scroll to and open Windows Media Player folder > scroll down to find wmplayer > right click at wmplayer, you can choose to do one of the followings.........
1.click it to open windows media player.
2.click Pin to taskbar > which will have it pinned in your taskbar,
3. create shortcut > click Yes to confirm > which will have a shortcut on your desktop.
Why do you need a shortcut ?
Easy, fast access.
When do you need it ?
Windows media player has a list of all your music files. You can open it for selection.