O Windows Media Player não suporta teclas de atalho globais como o Winamp; mas há uma ótima solução no SourceForge.net chamado Chaves WMP .
WMP Keys is global hot keys support addon for Windows Media Player. WMP Keys is easy to use and manage. Download and install it. The next time you open up Windows Media Player, open up the Tools menu, choose Options and the Plugins tab. Find the Backgrounds category and enable the Wmpkeys plugin with a check in its check-box.
At this point, you can choose the Properties button to change any of the hotkeys that are assigned to the Media Player functions.