The context menu of a window's title bar (right-click on the title bar of the window you're trying to move) has a menu which controlls workspaces. You can toggle whether an application is displayed on all workspaces there (for me, in WindowMaker, this menu is Options -> Omnipresent. It may or may not be the same for you). You can also control which workspace an app is currently on from that menu.
However, XMMS is weird. It has its own menu for this: right-click anywhere you can get a context menu, choose the Options menu, and uncheck "Show on all desktops". It says that Ctrl+S is the shortcut for this, but Ctrl+S only turns this option on...it doens't turn it off again