The download the Lyrics Plugin!
You must make sure that you "tag" all of your songs with the appropriate Artist and Track Name (with something called ID3 Tags) so that LyricsPlugin can find the lyrics. You can also customise the colour, and add lyrics to the database if they are missing!
If you want more plugins for Windows Media Player - I would highly suggest DFX - which makes any song really sound much much clearer.
DFX is a licenced program, so if you want the full version, buy it, or, download a patched version from a torrent site such as www.torrentz.com and install away! I tested one out and had no problems, but beware, as there are always viruses/spywares hanging around on some torrents.