Hey, ive been dealing with this SAME problem, w/ possibility same environment/situation. After a few hours of screwing with it, (after dealing with clicking on the UAC for a month now)
I have Windows 7 Home Premium 64 bit. Have installed Latest 5.601 Winamp within last 2 months.
The fix:
Uninstalled current installation.
Installed it as admin. ( right clicked, "run as administrator" on the winamp5601_full_emusic-7plus_en-us.... )
ps. unrelated but i noticed when i had Right clicked and hit Open, (NOT run as administrator) it would open WITHOUT UAC, however normally double clicking that SAME icon, would produce the UAC pop-up.