I would argue that multimedia came before win95. You can see many sound+video+more integrations on program-level before then (The installer for Command&Conquer is a legendary example. There'sa reason why the first setting the installer asks of you is your soundcard details.)
But it was with win95 the concept was embraced by an operating system geared towards it. And that's what allowed for many of the whacky UI designs of media players that came not long after.