Okay to answer your first question yes there was some standalone updates thru windows updates for Windows Media Player. At least on XP there was i just checked under Vista and there isnt any.
The Windows Media Connect is integrated into WMP11 so it is always present jsut not under that name anymore.
Yes under the Library Tab. Use the arrow and click Media Sharing. It will give you the option to connect to your Network.
If the sharing is turned off it whouldnt recognize the device. Cause it cant share with it at that point. With it turned on it can share with it so it should recognize it.