It is a flaw with Windows that Winamp3 suffers from.
BTW Winamp3 is dead, try Winamp 5. I don't think that WA5 suffers from the "missing" window problem.
Due to the upcoming public release of
Winamp 5 (hopefully within the next several days or so), development of Winamp3 has been put on a indefinite hold (basically WA3 is dead), it will be removed from download and support for WA3 will end.
Winamp 5 is a upgrade to Winamp (
AKA Winamp 2), with support for Winamp3 skins plus some cool new features. Winamp 5 rocks!

If you are itching to give WA5 a test drive, check out the
Winamp 5 Release Candidate thread. As I said before Winamp 5 is an upgrade to "Winamp 2" (WA3 and WA2 are two different media players), so
don't install over the Winamp3 directory/folder. If you want to, you can have both Winamp3 and Winamp 5 on the same computer. Consider Winamp 5 RC8 to be like a beta, in other words betas do not receive tech. support.
Winamp 5 RC8 discussion here
Winamp 5 RC bugs reports here
To avoid confusion, Winamp and Winamp
3 are two different media players.
Winamp = Winamp 0.x ~ Winamp 1.x ~ Winamp 2.x ~ Winamp 5.x
Winamp3 = Winamp3
Winamp is based on the Win32 core
Winamp3 is built from the Wasabi platform
Now if you are die-hard Winamp3 fan, the following quote from the
WA3 FAQ will be helpful if that missing window thing happens again.
The window is lost off the screen
Close Winamp3. Delete studio.xnf from the Winamp3 folder. Or try
this.