Windows Media Player:

Click Start → All Programs → Windows Media Player.  The player will appear. 

RealPlayer:

Click Start → All Programs → Accessories → Entertainment → RealPlayer.  The player will open. 

Closing

Windows Media Player:

When you are finished using Windows Media Player, you may choose File → Exit from the menu bar or hit the  button in the upper right corner of the window to close it. 

RealPlayer:

When you are finished using RealPlayer, you may choose File → Close from the menu bar or hit the  button in the upper right corner of the window to close it.