WMP makes it easier to do these actions, but you can use any 3rd party program that you like instead if it supports Vista. It's just a matter of your preference.
I do not know anything about SonicStage, so you might see what suggestions you get on it from your other post I moved. Hopefully someone else that uses it may know of a solution to get that program working for you if it will run on Vista. Sonic Stage install problem
You can try using Compatibility mode on it to see if it helps with Run as administrator and XP SP2 mode. Compatibility Mode