You can use PlayStateChange Event Handler :
private void WindowsMediaPlayer1_PlayStateChange(object sender, AxWMPLib._WMPOCXEvents_PlayStateChangeEvent e)
{
if (e.newState == 1)
{
if (listBox1.SelectedIndex != listBox1.Items.Count - 1)
{
BeginInvoke(new Action(() => {
listBox1.SelectedIndex = listBox1.SelectedIndex + 1
}));
}
}
}