How to disable media sharing in Windows Media Player 12

From How To Disable Windows Media Player 12 Sharing :

1. Go to Network and Sharing Center (found by clicking your wireless/Ethernet icon in your taskbar)
2. Select Homegroup and Sharing Options
3. Select Choose Media Streaming Options
4. Click Block All

It's also possible to disable the media sharing from Services

1. Click "Start" and select the "Control Panel."
2. Go to "Administrative Tools" and open "Services."
3. Find "Windows Media Player Network Sharing Service" and double-click on it.
4. Click "Stop" under the "General" tab and then select "Ok.", or set the service to "Disabled".

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