Customizing Drupal 6 MP3 Player
I have never used that particular module, but I used to use the standalone version of the WordPress Audio Player a lot.  The player isn't really skinnable in the same way you can skin other Flash components.  There are some JS properties that you can set to change colors and dimenstions.

The documentation for the module claims


  Player can be styled and changed through Drupal admin interface.


so you should visit the settings page to see what you can do.

That said, there are other options you can explore


jPlayer
Flowplayer
MediaElement (Drupal 7 only, though)