Windows Media Player doesn't do that anymore.
Windows Media Player is now legacy software. That means it's being retired. Microsoft even calls it Legacy Windows Media Player. Its replacement is simply called Media Player, which is the current default media player for Windows.
Legacy Windows Media Player is being retired because it was built around two technologies that have largely fallen out of use: home media libraries and MP3 players like Microsoft's own Zune player, which was retired long ago.
Microsoft was paying a large fee to license music metadata services like MusicMatch and Gracenote, and with increasingly fewer people building home music libraries, the expense was no longer worthwhile, and so Microsoft ended its contracts with suppliers of metadata. This is why you can no longer obtain artist and album information with Legacy Windows Media Player.
You can still obtain the metadata, but you have to do it yourself. I used Exact Audio Copy to rip my old collection of CDs