OK, here's my deal. Whenever I have a song downloaded, & I try to download another, the 1st one gets erased. The same happens when I put a CD in. I don't think this is a problem with just Winamp. I used to use the Lycos MP3 player, & it did the same. What's going on, & how can I stop it from happening again?

What do you mean it gets erased? As in physically from your computer, or just from the playlist?

Anyway, when you add files by using the playlist's ADD button, it will add the file instead of replacing the current one. Also, you can set it so that when you double-click a file in windows it puts it on the list instead of replacing the other song(s):

Ctrl+P -> Filetypes -> check the box beside Enqueue As Default Action.

Pretty much erased from the computer.