I don't recommend disabling your firewall, but do recommend that you make sure it's configured to allow internet access for Winamp, and not configured to block it. Many firewall programs/processes still run in the background, even if you close the UI.
Do you use a proxy to connect to the internet?
Is the correct connection type selected in Winamp -> Prefs (Ctrl+P) -> General Preferences?
Is the proxy field in there blank?
If the problem persists, then we'll need more info:
http://forums.winamp.com/showthread.php?t=161361#specs