I knocked this up in a few minutes for you
http://www.finitemonkeys.com/tfp/minplay.zip
Its an exercise in minimalism
double click the window to open a media type, use the [..] to browse right menu to control.
it doesn't play DVDs yet, but most other formats yes
[edit] forgot to add the Always on top option, so i did, its on the file open dialog
quick manual,
download , run, double click to open a file and set on top mode, either type in a URL, filename or press the [..] and browse
player should then player
left click drag on the window will move it around, sizeing bars will resize it, esc will close it.
its ok to put htpp://www.w.com/something.avi etc or file://c/file.avi or just c:\file.avi
right click brings up the menu
unless i restort to unorthodox methods for resizing the control, you have to have at least a 1 pixel border
otherwise you can have no border whatsover