how do play music in video games?

[Andrew S]

i have steam and as someone with steam knows, there is an overlay available by pressing shift + tab. in this overlay you have the option of communicating with friends, inviting them to games, looking at stats of any player, and even surf the web, with the ability to get back to the game in seconds. i want an overlay like that that is basically like a media player, i know that winamp does something like that, and im open to it, i just dont know where to get it, but dont tell me about binding keys to playing songs named 1,2,3,4... or typing play song in the console, i want an actual interface, thank you