In the X11 Menu Bar->Applications->Customize.
In the Customize window, click below xterm, then double click to edit. Enter xmms on the left side- this will be the text in your menu. I believe fink installs xmms (neat app btw) in /sw/bin/. Double click to the right of that and enter /sw/bin/xmms &. The ampersand runs the app in the background, freeing your xterm for other commands, otherwise when you quit xmms (command-click on thw window edge) the xterm will quit. Click on Done.
That should launch xmms from the X11 Application menu.
HTH
Craig