Also, make sure that Windows Media Player isn't active. Same for any application that might be using the plugin like a web browser or something. Once everything is closed, try and empty the Trash.
For the record, closing the red button on a window doesn't quit the application as in Windows. You have to either go to the Application's name (if it's at the forefront of the desktop, it will show next to the Apple at the top left) and select Quit, hit Command-Q on the keyboard (Command is the Apple key), or control-click the icon of the application you want to quit from if it's located on the Dock.