I am guessing you are booting directly into a graphical environment (like Microsoft Windows and the MacIntosh do). If so, you should tell us which desktop environment (DE) you are using. The two most common ones are KDE and Gnome. If you have no idea, let us know which distribution you are using (which is generally a good idea anyway).
In general, I think you would want to do two thinks. One would be to pop up a window with the message you want, and the other would be to do a key binding where F5 plays the file you want. Each DE has its own way of doing both of these things.
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