I think similar problems have been discussed recently.  I think you'll find that the graphics acceleration only works for the built in laptop display.  WMP probably doesn't use it very heavily.  I bet if you tried to use any kind of 3d graphics on the second screen it would suffer.  Of course, there isn't much you can easily do about that, which is a shame particularly if you want to do gigs.
 
Maybe I'm wrong and someone else has a more encouraging answer.
 
Cheers,
 
Peter
 
p.s.  I don't have the same problem with my laptop (I can run GEM or whatever on either display), but I tried putting a random WMP visualisation on and the hit is >60%, wherever I put it - I suspect it isn't using hardware acceleration at all.
[Stupid outlook, sorry for the empty reply]
The problem is that when I drag a gem window to the external monitor the CPU meter goes from, say, 7 to 70, when lucky... that doesn´t happen if i drag a Windows Media window for example, what makes me think that Gem makes the graph controller achieve some ram space to work somehow freely... and the fact that this only happens with pd and gem makes me wish there´s a solution from pd itself... so I ask for help to the community... thanks in advance
cheers
Gerardo Morel (aka Grod)