I guess simply removing the background image isn't enough because the window is still created and all. This is much like Plus!-skinning or any other skinning. You probably need to remove (or hide) other elements as well.
Everything about WMP plugins, including examples how to create them, Visual Studio Plugin Wizard explanation, etc, can be found on MSDN:
http://msdn.microsoft.com/en-us/library/aa393415.aspx
There are several types of plugins you can create.
Thousands of plugins (maybe already something which you can use, or look in to as an example) can be found on
http://www.wmplugins.com/.
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