On Windows 7 and Windows 8 the default skin for Windows Media Player overlays the playback controls on top of the playback window, much like many Flash or HTML5 player skins. If you prefer the classic/corporate skin look, it's still there and only takes a few clicks to get to...you just have to dig a little. Click here for Microsoft's Windows Support post on the topic.
Sometimes it's the little things that make all the difference.