Welcome to the forum!
What software are you using?
What drums are you auditioning in the browser?
You can hear SD3 sounds only if SD3 is inserted.
Have you inserted SD3 as a softsynth in a project or are you using it as standalone?
(Actually, I don't even know if SD3 can be used standalone.)
Hard to say if a codec is missing (I don't think so) without knowing anything about what you're doing.
Have you read the manual and done the tutorial about using soft synths (if you're using SD3 as a soft synth)?
I simply don't understand what WMP has got to do with SD3.
Please try to give some kind of a description of what you are trying to accomplish and how you are trying to do it.
What have you inserted where, what kind of tracks you have and what are their inputs and outputs, do you have your E-MU as the recording and playback timing master (Options dialogue), how are you feeding the MIDI (keyboard, mouse or electric drums), what drivers are you using (ASIO is the most recommendable)...
SONAR PE 8.5.3, Asus P5B, 2,4 Ghz Dual Core, 4 Gb RAM, GF 7300, EMU 1820, Bluetube Pre - Kontakt4, Ozone, Addictive Drums, PSP Mixpack2, Melda Creative Pack, Melodyne Plugin etc.
The benefit of being a middle aged amateur is the low number of years of frustration ahead of you.