You might want to make sure that in the Winamp preferences (Options>Preferences)you uncheck the box "Restore file associations at Winamp startup" if you have that in your version. There's another option in my version (5.111) "Enable Winamp agent" if you have that you can read what it says. (I'm new to Winamp, so I'm not sure.) You might want to make sure that option is unchecked as well, if not then Winamp may try to re-associate file types back to it.
Alot of media type players (Quicktime, RealPlayer, ect.) are notorious for wanting to take over and be the default player for every media file type when you install them. I suggest always going with "Custom Install" to keep an eye on what the application is doing with its default file associations. You might not know what all the types are, but it gives you more control.
Note: You can see something more along the lines of what "chromesn" was talking about in his posting if you go to ANY Windows Explorer window (i.e. "My Documents") and click on "Tools">"Folder options" and click on the "File Types" tab. (There is probably another way to get to that, with Windows there is usually more than one way to get to anything!) There is a list of the file types and what program is associated with them. I don't suggest changing anything, its just good to know.
(I usually change file associations within the individual applications themselves.)