Shoutbox

Even if files are stored on your HD, that doesn't mean that the whole file or it's actual contents is on your HD. Eg: you can have a linkfile on your HD which links to online media...

The box with green arrows running to the right is showed when WMP is playing a buffered media (doesn't matter where the media is, local of on the net).

The single right pointing arrow is the default icons indicating a (non-buffered) playback...

I dunno what the green "television" icon and green round dot on the leftright (like in your sshot) means though. But you can always hoover over the icon (except the normal green arrow) with your mouse to show a tooltip which will give you a clue in what the meaning is.

Anyways, all those icons are realy nothing to worry about and are just some indicators....
eg: when you are playing some streams which are specially optimized for broadband users and for WMP9, the green arrows will turn in yellow arrows, indicating that you are playing fast streams which are optimized for Windows Premium Streaming Media, which will give you also superiour quality over normal streams with the same bitrate.