"Class Not Registered" or Error 80040154 can have a few different solutions
depending on what are you doing in WMP at the time you get it.

Q: Do you get this while trying to play an AVI?
Is so...You most likely don't have the right codec installed for that
specific AVI or you have a bad install of the codec.

Using a DirectShow decoding filter such as FFDShow will decrease the
problems you could run into with codec problems.  FFDshow will decode XviD,
DivX 3/4/5, 3IVX, and has support for many other codec's.  It can be
downloaded at
http://sourceforge.net/project/showfiles.php?group_id=53761&package_id=48261&rel
ease_id=95213.
(Download ffdshow-20020617.exe and then run it's installer)

If you just wish to install the individual codec's for your specific video
or FFDShow doesn't support the codec for you file please do the following.
- Download and use GSpot (http://www.headbands.com/gspot/download.html)
- Run the installer, open GSpot, goto File>>Open.
- Look for the 4CC code for the file's Video Codec
- http://www.zachd.com/pss/pss.html#codec will help you.
(Or post the information back here and I can help)
-If you don't get audio, what codec does it use?  GSpot also tells you this.

If you have the correct codec installed and the video still doesn't play
download GSpot (Above) and run your AVI though the program.  If Gspot says
"Failed to render", "Missing Chuck", etc. then your video file is corrupt.

Q: Are you playing an MPEG/MPG file? (DVD, SVCD, and VCD)
If so...Please reinstall DirectX.  This will overwrite quartz.dll and
re-register it in Windows.  quartz.dll is the MPEG Decoder that WMP will
default to.
(http://www.microsoft.com/windows/directx/default.aspx?url=/windows/directx/
downloads/default.htm)
If reinstalling DirectX does not help please provide the following.
-Does it only happen with a few MPEG/MPG files?
-If so...It's most likely a file encoded with the MPEG-2 codec.  To decode
this you will need to install an MPEG-2 decoder.  Follow the link to more
information. (http://www.zachd.com/pss/pss.html#mpeg2)

Q: Do you get this while playing a file other than an AVI or MPEG? (Or All
File Types)
If so... http://www.zachd.com/pss/pss.html#classnotreg will help you out.

Q: Are you only getting this error for specific music files that you have
downloaded?
If so...What file format and what version of WMP are you using?  Please also
include where you got the file.