Ok, if upon right-click your menu is also unreadable, try as follows:
(close BSPlayer) rightclick on an empty part of the destop > Properties
select Tab named [lay-out] or [styling] or something similar (havn't got English Windows version, so don't know exact name of Tab) then [Advanced]
At bottom left there is a box named "Font" (probably greyed out)
Just above that there is a box "Item" (with probably "desktop" selected in it)
Select "menu" in that box and the box "Font" will become available.
Now select a cyrillic font (e.g. "Arial (cyrillic)") and click Apply / [OK].
Start BSPlayer and rightclick on it. Is menu now properly shown in cyrillic characters?
(With respect to labels on control-panel: characters will perhaps still be unreadable; if so please report here, mentioning which skin you're using, so that I can try)