If you are looking for a winCE app, sorry this is off topic then.
If you are talking about a full windows machine, use task scheduler. It is that first icon that you have in the system tray. The command to run is usually just the exe for your mp3 player, with param $1 being the mp3 or playlist you want it to load up with.
If I want to play a song at 7 AM, I would choose "Create New Task" in the Task Scheduler. Then I would browse to the EXE file that I want to run (you do not enter the playlist name yet). Then you set that you want it run mon-fri, at 7 AM. Then choose the check box to open the advanced properties dialog box when you are done. In the advanced properties dialog box, it has a field that says "Run:". Your path to winamp or whatever should already be there. Just put the playlist or mp3 file name there after the command path/name and you are all set.