you should try downloading time restore & autoplay v2.0beta
(which i think is the latest version) configure after installing under pref>plugins>general
you would be able to start winamp at startup from here, as well as autoplay, as well as point to a specific file.
alternativley you could create a scheduled task (under windows control panel) for 'program files\winamp\winamp.m3u' and have whatever song you want played first in the playlist when you exit before turning off your comp. I 'think' you would also require dro's plugin for this as well, and check play from the start of the playlist.