Since its inception, Windows Media Player has not been improved much, it actually lost some earlier features overtime such the playlist creation. But the major flaw is the capability to resume where you left off, which makes audio podcast listening virtually impossible.
Granted the logic behind this feature lacking is perhaps, WM does not close your app when you tap on the “X”, and actually its plays in the background if you don’t hit the pause or stop button before hitting the “x”, therefore when you open WMP again, you should find right at the position where you left off.
However, after a certain time, the memory management could flush out the resident portion of WMP from RAM and most likely you won’t find the same position again.
Our friend Italian site "MyLostBlog” spotted a nice plug-in called “Resume Plug-in” made by Wolfman-XP, a member of the XDA-Developer squad. The purpose of this plug-in is to address the resume problem.
You can visit the original thread HERE, download and install the. Cab and every time you press pause on the MediaPlayer it will save the playlist and the position. After you exit the player or the device resets it will resume at the same position.