There are great programs like CDBurnerXP or InfraRecorder that, I think, will help you accomplish what you want. Both are free and with no bloat - in the spirit of Spider Player

Their authors put a lot of effort into developing and maintaining their programs. I doubt, I could cope with this added complexity, OTOH licensing a ready solution with commercial support would increase the cost of the player.
Flash players have been increasingly popular for years now. So I don't know if there is a big demand for this feature. Long time ago, hesitant over whether to implement it or not, I ran a poll, asking what devices people primarily use to listen to their music, and looking at results decided against it.