Improve testability of constructor
I think you are putting way too much logic in your constructor. The other problem is that you do not want to create dummy files, if so, are there are real files you can make a copy of and test on? If there are no real files either you might actually have to create some real/dummy files.

And if I understand your question you want to test "the logic" of the Player class, which is basically invoking and creating a new URLClassLoader, but since this class takes a File as argument you can't invoke it. In that case you could change the argument from a File to a String so the invoke would look something like

public Player(String filePath) {
    this(new URLClassLoader(new URL[] { filePath }), "test");
}