If your media player provides global hotkeys for users to control, just set the key macros in SSE according to those hotkeys, but if not, you will probably need some plug-ins for your media players to provide global hotkey functions.
Take Windows Media Player (WMP) as an example, it doesn't provide any global hotkeys, so you need to search some plug-ins for WMP on the Internet. Some of them provide many pre-defined global hotkeys for basic operations of WMP. Load the plug-ins and enable it while using WMP, and then you can define the key marcros in SSE according to those global hotkeys to control the WMP , no matter which window you are focusing on.
However, if you have SSE 3.0 version or above on your model, you can directly assign some combo keys with media control functions. Please see the attached image for instructions.