The OS does no checking on files you work with. Windows Media Player will of course check media files you play to see if they are DRM'd, just as every media player does. This is part of the process by which it determines the media format type, i.e. is it an MP3? A WMA? A DRM'd WMA? This works exactly the same on Vista as on XP, and is the same sort of check iTunes and other apps do. There is no overhead here beyond that required to determine the difference between an MP3 and a WMA, and it only occurs at the time a file is loaded.
What Vista provides above and beyond XP is something called Protected Media Path. This is similar to Windows XP's Certified Output Protection Protocol, but more sophisticated.
Protected Media Path allows for a great many possible restrictions on both audio and video output, including those defined by HDCP. And since it is a protected process, it allows decoders to be run in a context that prevents them from being manipulated or attacked (i.e. having their memory scanned for secret keys and such). Whether there is any overhead for using PMP to host your decoder is debateable, if there is any it should be negligible at worst. It's the same code running, whether it runs in your app's process or in mfpmp.exe instead. Yes there's IPC overhead, but lots of media player do out-of-proc hosting anyway so that a bad decoder won't crash the media player and to dodge certain security issues like heap spraying attacks.
What's important, though, is that this is an API that applications *CAN* use, not something that is imposed on applications or users. The Protected Media Path code will only get loaded and used if an application specifically calls MFCreatePMPMediaSession. It will cause the application-provided code to be hosted inside the protected process (mfpmp.exe). You won't see mfpmp.exe running unless an application has specifically invoked it via that API call - which would most likely happen because you are playing a BluRay disc with a player that has decided to make use of PMP.
Windows Media Player on Vista does use PMP for all media decoding, and suffers no ill effects from it. However, you do have a problem with it, just use Winamp or some other player that doesn't invoke PMP.
Like I said, having the support for DRM or output protections like HDCP won't affect you at all if you don't use media (or applications) that request or require that support. It just allows developers to run their code in a protected space and place what restrictions they want on their content. It make no determination about whether such restrictions are necessary, wise, or just. It's just an API. APIs can be used for good or for evil, if you have a problem with how a BluRay app uses the PMP API, then complain to Sony or the app developer =)