Firstly, close Winamp.
In Explorer, goto your Winamp dir (c:\program files\winamp)
Make sure the folder & none of its contents have the Read Only attribute.
The main file to check is "winamp.ini"
This is the file that stores all your config settings.
If it's Read Only it can't be modified, so change it to "Archive" instead.
If you've used the "Customize this folder" tool for your Winamp dir, this also makes the folder Read Only, so run it again and choose "Remove Customization"
I hope this is both relevant & helpful.