The 'turn on what I am listening to' feature is new with MSN Messenger 7. As you probably already know it can be used to show your contacts what you are listening to with Windows Media Player, Winamp or Realplayer.
When using Windows Media Player this feature will work without installing a plugin. To make it work, all you have to do is clicking on the arrow right next to your personal message and select: Turn on "What I'm Listening To".
Note that this feature will only work with Windows Media Player 9 or later on Windows 2000 or later.
The winamp plugin "toaster" will show your winamp songs in MSN Messenger. It also has some other features like a textballoon showing your current song. You can download it at the winamp site.