I've got the Logitech EX110.
If setpoint is open/minimized in the tray then the F keys work, ive got 1 set to open MM, but the multimedia keys dont.
When i close setpoint, my multimedia keys work as they should but the f keys dont.
Ive made all the edits i need to make, comparing those here and in the FAQ.
I tried it in WMP 11 - and it doesnt work with Logitech launched.
EDIT - Just read some stuff over at the logitech forums, people saying that setpoint sucks, get an older version.
Its a good job that Logitech still ship an old crappy version of setpoint with their keyboards