You have the following problems:
1) LFS (and pretty much every game on the market) can only run in full screen on 1 monitor, while on windowed mode you can use as many monitors as you want.
2) If you run LFS on windowed mode and click outside LFS' window LFS will not receive your inputs (even if you are using a steering wheel).
Your options are:
1a) If you have Windows 7 (maybe Vista) you could use AMD Eyefinity (or nVidia's equivalent) to fake your monitors, making Windows think you have only 1 big monitor, so LFS will not "complain" when switching to full screen.
1b) If the instructions above doesn't work, check SoftTH and Matrox Triple Head.
2a) Buy a multimedia keyboard and use those keys to control the music.
2b) Go to your media player preferences and assing hot-key combinations to your keyboard.
The solution 1a may be combined with "virtual desks" (or whatever its called) so you can maximize a window only in one monitor, as it works now.