It's not in a folder, it's inside the app. (control-click -> show package contents) Windows Media Player.app/Contents/Resources/English.lproj/HelpPages/wmphelp.htm
Upon closer inspection, the file inside the English.lproj folder isn't locked, but the files in the other language folders ARE locked. This shouldn't be a problem anyway, but try moving WMP by itself and see if you get the same error.