On which row You get this status. Everithing works fine here.
Here code I tested:

* Create the object
oWMP = CREATEOBJECT("WMPlayer.OCX")

* Retrieve the first media item from Media Library
firstMedia = oWMP.mediaCollection.getAll().item(0)

* Make the retrieved media item the current media item.
oWMP.currentMedia = firstMedia

* Display the name of the current media item.
?"Found first media item. Name = " + oWmp.currentMedia.name