There's a known issue on Vista/Win7 where unassociating fietypes doesn't work via Prefs -> File Types.
Associating works, but not unassociating.
We're looking into it and hope to have it fixed/addressed for the next release....
In the meantime, just use "Start/Control Panel -> Default Programs -> Set Associations" instead
(like just about all other programs do on Win7 these days)
As for Winamp Agent...
It's not even been updated to look for anything other than Winamp.File and Winamp.Playlist
If you look under: Start -> Run -> Regedit:
You'll see that HKEY_CLASSES_ROOT has keys such as:
etc etc etc
Basically, Winamp Agent needs updating... or getting rid of