On windows media player I once closed it improperly and a message showed up that said " Windows media player was closed improperly and third - party function is now disabled". Now when I go on msn live messenger and click on show what I'm listening to, it doesn't show my songs anymore. Can I do anything to fix it?

Right, this is real easy :D

Open WMP, click on Tools -> Plug In's _> Options
Select the "Now Playing" item from the category list, and make sure that Messenger is ticked.
Click Ok.

Go back to messenger and try enabling the "Show what im listening to" again, I had the same problem once before as well.