download a winamp crossfading plugin they do that.
One of the small features i miss from the Frodo days was the fading volume on start up.. small but it was nice not having the music blast automatily from start and gave you a few seconds to turn it down first
could something like this be impliented?
i believe there's two crossfaders on there site the nullsoft one will fade up the music when its first played. It might mess with your SONGPOS label if you have one tho.