Not too strange really - I assume that whatever you are playing is on the HD.
Here's one explanation: the application requires CPU cycles to operate. The music has to be read off the hard disk, which also requires CPU cycles. Sometimes there just aren't enough CPU cycles to do all that is required, hence the skip.
Here's another: the audio data is on the HD, which is very good at accessing contiguous blocks very quickly; however, if the data is in non-contiguous blocks, the HD isn't quite fast enough to find, read and deliver the data before it is required - hence the skip.
And another thing - even if everything else is OK, windows often has to do other things, like opening an application or a data file, or access the disk for housekeeping (e.g. delayed writes from cache, etc.), and this can momentarily take up too much CPU resource or too much of the IDE data bus.
Aside:
What really annoys me about WMP is the way it forces data from audio CDs to go through the IDE interface (and hence require CPU cycles) rather than direct to sound card.
This is why I still use the CD player app. from Win2K - this allows direct hardware output.
SD