Thank you all.
I called HP tech support and he went step by step with me as Even by inserting the SD card my WMP was not opening at all. So he made download flash format on to my ipaq after I backed up the SD card files through card reader.
We formatted the SD card and behold everything worked fine since then. I have not yet tried downloading MP3s on to my SD card. But even after several third party softwares installation I can still open WMP pretty fast. Kudos to HP tech for a change.
