You talk about turning your stereo headunit up, and it cut's out, what sort of stereo set-up do you have, do have a big sub woofer speaker in the boot? If so somewhere you've probably got a amplifier, this pull more power from the battery, which is charged by the alternator.
If you draw more power than your alternator can provide then the stereo could cut out, turning headlights on, powering windows all draw extra power.
There are various guides around on the internet (and this site I think) about checking the voltage across you battery, alternator, etc. I suggest you go have a look, as they'll be able to present the information in a clearer way than I can, you will need a multimeter to check your readings.
Has it always been like this, or at one stage was it all working perfectly?
If it was perfect in the past then either you have a dodgy wire or your alternator brushes are wearing away.