i think winamp 5 does it. There is a plug-in called Tray Control, which allows you to put controls into tray. Besides Media player lets you make a special media player bar in the taskbar...
why not do what most civilised people around here do and use LITESTEP. otherwise set up those ugly "multimedia" keys on your keyboard to do the job for you. or if you were a super evil-genious you'd set up "global-shortcuts" from the Winamp preferences window (eg. CTRL+Z = previous, CTRL+B = next ... ou, the wonder). i'd go with the multimedia key but thats just me.
qwertz:/b> Eh, I wouldn't assign those keys to anything. They're already mapped to functions that are used across almost all Windows programs (cut and bold, specifically). And yes, I know you're only using them as an example. Plus, if he's calling the taskbar the "Start Bar," he would be utterly overwhelmed and confused by LiteStep, or any other alternate shell.
evergamer: As far as I know, there aren't any utilities around that will let you put controls in the start menu. If you mean the taskbar when you say "Start Bar," Windows Media Player 9 will take care of the job for you, provided that you're on XP (as stated earlier). You can try docking Winamp to your taskbar, which will put audio controls directly adjacent to, but not in, your taskbar.