do you have a really slow internet connection? if so your request to download the program is probably timing out. that means that after a certain amount of time it just gives up and basically says, "sorry, couldn't reach the file you wanted." one thing you may try is to download winamp from another place. I like tucows
because you can choose from many different servers (called mirrors) to download. hopefully they have a server in your state, meaning less chance of timing out.