If you are using WM5, the best you can do is hit the OK button and it will "minimize" ?? the media player application but it will keep running. You still may accidentally activate a program or 2 on the phone, but it shouldn't affect the media player.
With WM6, You can do the same thing and actually turn the unit off. However it will only keep playing until the end of the currently playing song.
Personally, I bought a flip-case so that the screen is protected in my pocket while media player is minimized and the phone /PDA is still active. This seems to work pretty well for me.
Hope that helps..................
