You must provide an installation process for the user of your visualization. You must also provide an uninstall process for the user. The current version of Windows Media Player does not install visualizations from the user interface.
It is recommended that you install all visualizations in the Visualizations subfolder of the folder where Windows Media Player is installed.
Visualizations are COM DLLs and follow all the normal rules of installation and removal. You can use regsvr32.exe or other installation tools to register your visualization.