I searched for a program like this a few years ago and couldn't find one so I decided to write my own (despite my very limited C++/Visual Studio skills). Right now I have had it using the Ping class successfully the last few years to:
1- detect when your device connects
2- run any file (exe, pdf, m3u, etc.)
It also interfaces with WinAmp (if winamp.exe is the chosen file) to open and minimize winamp, play the music, and also stop the music when your device leaves the wi-fi network.
Other info:
-It minimizes to the system tray and also saves information (IP, file to open) in an .ini file.
-Also you can copy it and run multiple instances of the .exe to get more than one monitor/action at once.
-To get it to run on windows start I just put a shortcut in the Start Up menu.
-You could write an AutoHotKey script (which is really easy, anyone can do it) and compile that to create an .exe which does several things for you. (ie. play sexy welcome voice, wait for it to finish, open something else)
Let me know if you want me to email the program to you and maybe you can help me out with some testing/debugging. I'm working on getting it working with iTunes and Spotify. The nice thing about Winamp is that it's easy to interface with in C++ and it keeps your previously open playlist each time you open the program.