Of course. And the download of the licensed version is free. The only thing that is not legal, and the one that might have confused some, is the fact that EU ordered Microsoft not to preinstall Media Player within Windows. Preinstalled Media Player, as well as Internet Explorer (especially versions prior IE 6), usually were unremovable by the user, which EU considered a monopolistic move, unfair market advantage against Microsoft's competitors, and an override of consumer's right to choose what to have or not on his/her computer.
Therefore, the whole point was exactly that - so you could choose which software to have on your PC, regardless of the manufacturer, e.g. to install WMP or not (and uninstall it if you want), just like with any other software, instead of having Microsoft pre-decided it for you (ie. install and keep forever, no matter how satisfied you are or how hard you'd try to get rid of it).
