Author of WinDjView project didn't implement this feature although it was requested by some user.
And as the project is open source I made it myself! :)
Download WinDjView with Restore Last Opened Documents Feature (837 KB)
Download Sources for WinDjView with Restore Last Opened Documents Feature (1008 KB)
I've configured version 1.1 of foobar2000 for my needs, and so wrote this plugin like the plugin for the 0.8 version.
Here's the picture it looks like when song is being played and paused.
Download "Taskbar Progress Bar" plugin (42 KB)
Download Sources for "foo_taskbar_playback_progress_bar" plugin (5 KB)
UPDATE: v.1.1.3:
[!] fixed: 50% indeterminate state for unknown length tracks (for ex. live streams).
UPDATE: v.1.1.2:
[!] fixed: sometimes PLAY state was being shown on pause.