If you want WMP to stay at top in full mode there are third party programs which allow you to set every window to stay at top. Sometimes very useful. There are for instance PowerMenu , Filebox eXtender or Actual Title Buttons .
thanks yoyo , but i dont think that i'll be getting any additional programs. i was wondering about it because one of movies that i have is only working in wpm. and as i constantly go around other different programs it goes to the back, unlike winamp where it's always on top of other windows and is very comfortable.