Is the 'General Preferences - File Types - Shell Options - Start Winamp playing if it is not already' option checked?
Are you using the same version of Firefox as before? Some stuff was changed in the latest version for security concerns. The option to 'download and open' could now be separated to download, then open. I suggest you post the question on the Firefox forum.
I've never used 'download and open' because I want to check the downloads for virus and/or malware before I open them.
Win 7 Home Premium 64-bit SP1 desktop, Winamp Pro 5.666.3516 patched, cPro2 XUI Unity ECNMY skin, X-540 5.1 speaker system