Its not a bug with Vista. Its actually resource allocation. I'm running Vista Ultimate on my monster C2Q Extreme and I emulated your problem but to my surprise, I was able to run 4 different movies on 4 different WMP11. But then, it could be due to my C2Q Extreme .. hehehe

Aiiii ... From Malaysia, go to UK oso, pirated copy of vista rocks... My Vista Ultimate is pirated ... and fully activated ... jeng jeng jeng...