You have to run the Wavelab Pro 9.5.20 Update. That will update the DDP Player that’s installed on your computer, as you’ll see in the install dialogs. There is no separate DDP Player update installer.
There have been 3 DDP Player versions. 1.0.0, 1.0.10, 1.0.20. Check which version you’re using in the DDP Player About menu.
Running the original DDP Player 1.0.0 installer (which is still the only DDP Player installer we have to send to clients I believe, correct me if I’m wrong) offers a Check For Updates option in the install, but it doesn’t see the 1.0.20 update here, and the 1.0.10 update it does see doesn’t install correctly on Windows 10 for me (the installer says it’s installed, but the Player “About” says otherwise). I think Steinberg might need to check that, or correct me on that, but I can’t get it to update this way on two Windows 10 computers here, so unless it’s just me, the client can’t install the latest version either.