http://www.winamp.com/plugins/details.php?id=142585
This one works for me. You can give it a try. Install this plugin under you mediamonkey folder and setup the keys.

Isn't it possible to write a plugin for MM for this?? I've never made a plugin but maybe we can fix it together...

Maybe it will work with Creative mediasource have you tried that?? I don't think there is a plugin for MM/Winamp ATM. I think it better to save your music on your PC too. If your MP3 player crashes you have a problem :-? . EDIT I've tested it with Mediasource and it works!! I can play from my MP3 ...

If you download the latest Alpha (3) version of MediaMonkey it will work. It is a Alpha version but I haven't found any bugs. Otherwise you can wait until the official release.