Jorris, if ya problem is not solved bu solution Martijn gave u, it's also possibele that plugin is not activated in WMP itself.. Go to your Windows Media Player, than Tools > Plugins > Messenger Plus! WMP Plugin, make sure it is acrivated. Than start playin' a song (if you are already playin' one, replay ot or play another one...)
Here is screenshot.. Go to Now Playing (Afspelen in Dutch version), and than just do da same as on this screenshot:
Hope that helps