There's bound to be some software out there that allows this...
I recently upgraded from a Microsoft Elite keyboard to a Saitek Eclipse and while I enjoy the keyboard overall, I really miss the ease of skipping to the next song, pausing, etc.
Cant really think of a program, but today I just bought my G15, and I noticed there is a program that helps you run macros on it, maybe there is a program out there that can run as a system utility to aid in possibly using the F1-F12 buttons as possible macros.
You don't have to even have to be in winamp to use hotkeys. As long as it is running in the background. The only time I find it doesn't work is if i am using remote desktop