1) Depends on how you are downloading your songs.
If through Kazaa Lite for instance, you can set how to handle download mp3's (ie enqueue them in winamp). If your just downloading them through internet explorer you can open the file after you downloaded it and it should be played in Winamp. If you want to have the song enqueued (ie imported into your playlist but not played), set the option 'enqueue files on double click in Windows explorer' (Preferences -> General Preferences -> File Types).
2) Yes, you can enqueue them. In explorer, right-click the file and select 'enqueue in Winamp'.
And you can set Winamp to enqueue files on double-click (see answer 1