Well you'll need to work at this in stages if you've never done this before. First, get the library of music converted to mp3 format.
After you've decided on the format of the player (Flash, WMP, etc), go to a few sites that play music and view the source to familiarize yourself with the code. Here are a few sources for tuts:
If you'd like something unique, create your own player (or have someone do it for you). Here's a couple of examples:
Custom players can be take the shape of anything you can imagine!
Good luck on your project,
Eye for Video