When I try to download WINAMP, the installation file closes on its own...
 

I'm running:
windows XP home
30 Gig Hard Drive
Pentium 4 CPU @ 1.8 GHz
256 MB of RAM

Here is what I do. I go to the wimamp download page, then I download the file, saving it to the MY DOCUMENTS page. Then I open the file after it has installed. Then I go through the settings of how I want WIMAMP to be installed but during the time it takes me to configure how I want WINAMP to be installed, the installation screen disappears. Then I went back to the my documents page to try and double click the installation file, but it too has disappeared. Then I'm under the impression that the file has somehow erased itself... I've done everything in this fashion maybe 3-4 times. I was starting to wonder if it was something askew in the registry or something like that. But, with my feeble knowledge of something like that, I come to you guys. I'll try and provide any information necessary to help resolve this because I would like to have this program. I hope you guys can help me...

Do you guys think you can help me? I really want to use this program. Its something there thats causing this thing to close during the installation, and hopefully, this can make it to a bigger FAQ or something, for future reference.

Do you guys think you can help me?

Maybe try to download the installer again:
http://www.winamp.com/player/
(Winamp 5.04)
Follow the instructions here to fully uninstall any remains of Winamp.
Also, install to a different directory, for instance C:\Program Files\Winamp5

If that doesn't work, please provide more system specs, maybe include a HijackThis log:
http://www.spywareinfo.com/~merijn/downloads.html

It looks as being a strange problem...

I tried again, then just clicked as fast as I could through the installation proceedures. But my thing is, what could have caused it to stop in the first place. And what is a HackThis? WIll it harm my comp?

No, it will make a log file of processes running on your pc and certain registry entries.
It could show wether you have some application running that could prevent the Winamp installer to work properly.
(spyware, malware, etc.)

It doesn't harm your pc.
Just save the log as a .txt file, and attach to your post.

But first, please try downloading the LATEST version (i.e. 5.04) again. The installer file may have been corrupt.

[edit]
hehe, btw, it's HijackThis, not HackThis :)

I got it downloaded.

I'll download thaat thing though. Thanks for your help though.