Do you intend the controls window?
If so, there isn't an option to keep it on top :( , but if you select the option "Show main window on single click" in General preferences, then your player's controls will be on top all the times you click on the Movie window (this works only if there aren't other windows with Alwais on top option enabled).
Instead to make the movie window AlwaysOnTop, simply right-click on the player, then select the menu item Options -> Always on top
