Is my neighbor accessing my files through my unsecured wifi connection?

Hi - I know especially in this day and age there is no excuse to have an unsecured wireless connection at your home. However, I have been too lazy and just left in unsecured for the past year. Last night, when I was on my computer that is hooked to my router, I noticed a funny icon on my toolbar. When I rolled over it, it said: The following user is requesting access you WINDOWS MEDIA PLAYER: benbarker-pc. The funny thing is, Ben Barker is a neighbor that I don't even know. It's obvious he is connected to my wireless router, but does he have to manually request access to my Windows Media Player like that? Also, how do I tell if he has copied any files from my computer? Please understand I can't check the router logs as I don't even have the router software installed on the PC. Thanks so much.