Note that Windows Media Player attempts to use Media Foundation first, and if failed to play the file back, it falls back to DirectShow.
When WMP requests DirectShow to render a file, filter graph manager goes through existng file and protocol associations in order to pick proper source filter. That is, the filter of interest needs to be registered as described in the following MSDN topic:
It can be file extension registration, or custom protocol handler. See also relevant discussion on MSDN Forums: