This seems to be a _big_ problem. Winamp seems to defy logic and starts up automaticaly with windows startup.
Solution 1 - The obvious solution is that somehow winamp has found itself into the startup section of the Start Menu, if it is in there remove it
Solution 2 - Run C:\Windows\msconfig.exe and in the startup section delete anything that refers too winamp.
Solution 3 - With some of these problems it looks like winamp is trying to play a executable called 'program'
. How it got there nobody seems to know. There may be a default playlist in the winamp app directory call something like 'winamp.m3u'. Remove it.