there is not importer for wmp yet, only for itunes. the easiset way to do it is send all of your 4 star songs to a playlist, and save as .m3u file.
In winamp, after importing all of your media into the media library, open your 4 star playlist in winamp, select all (ctrl+a) right click > "rate items"
this will add 4 stars to your media library database, if the files are in your database.
and so on for each rating.
for auto playlists: Winamp has "smart views" in the media library. in the left column...
top rated will display files with ratings 3 or above. you could edit the smart view by rightclicking and changing rating >= 3 to rating >= 4 to create "songs rated 4 or 5" smart view.
you can create your own smart views by right clicking any of these views in the left column and selecting "add smart view" (Ins).