Ok, this is what you should see when you get into Options:
Simple tap on each function (e.g., Play/Pause, Stop, etc.) and then press the hardware button you want to assign it to. After you press a button, it will show the assignment on the screen. As you can see in my example, I don't have any assignments for Play/Pause, Stop and Pause, but I do have the left/right buttons assigned for Previous/Next.
If you want to control WMP without taking it completely out of the case, then you will have to get a case that allows this. The Dell slip case obviously will not let you do this.