First, open windows media player and look under "File" or "Play" - the most recent files you've played might still be listed there.
Plan B: Open windows media player and look in the "Media library".
Plan C: Go to start/ search / For files or folders. You can click on "advanced" and only search for windows media files. If they're on your computer you should be able to find them that way.
I tried each plan. It's not showing any of them.