By 'microsofts photo player' Do you mean Windows Movie Maker?
On this you can create slideshows of your photographs, and add music and commentary as you say, which is why I ask. When you save (File>>Save Project) also save it as a movie file (File>>Save Movie File) and there are a couple of options there that may be of use to you, namely the 'My Computer' option and the 'DV Camera' option. Try saving your slideshow through this.
No guarantees but it might help!