Windows Media Player 7 and above allows developers to write plugin visualizations. Microsoft claim you can only write these using Visual C++. This is a lie, as they are just COM DLLs, but MS don't provide a type library for the required interface. I've translated the C++ version and written a sample visualization. Here's whats I've done
This contains the definition of the IWMPEffects and IWMPEffects2 interfaces. IWMPEffects2 is only available in Media Player 9, but provides access to the full Media Player object hierarchy, meaning your visualization could be pretty cool
The Media Player 9 type library (needed by the IWMPEffects2 interface)
The implementation of the visualization
Download it here. After compiling it, register it and it should appear in Media Player.