WINAMP 5 is so unfriendly
 

Could you tell me how to realize the auto play after clicking WINAMP?

I couldn't find this usual option in the control panel.

Thanks.

Winamp does not have a native auto-play option. You can add a playlist file, media file or folder to the command line of a Winamp shortcut and that file or folder will be automatically played at startup (of the shortcut)

A better and easier method is to use would be DrO's Time Restore & Autoplay plug-in. It adds a number of auto-play options to Winamp.