Right click on the title bar gives drop down menu.
Can I access it form KDE program for example KMplayer (set it by default)?

I'm having a little trouble understanding the problem.
Is the problem having something to do with the All Desktops option in the Move to Desktop sub-menu when you right-click on the program's title-bar (or press Alt+F3 to bring up the window menu)?
Or do you want to set the default behavior for all (new) windows associated with a certain application?

In the latter case, you can set application defaults by right-clicking on the application's title bar and selecting More Actions -> Special Application Settings. In the dialog that pops up, under Size & Position you can check Desktop, select Force and then select the All Desktops option in the second drop-down.