If you are seriously interested in this functionality, you might want to get a script. I'm not into PS scripting, but it is probably just a few lines of code like this (pseudocode):
app.runAction("myAction")
app.execute("C:\Program Files\winamp\winamp.exe -finished.mp3")
Needs just to be properly fleshed out, so I'd ask on the respective sub-forum.
Mylenium