This is probably one of the most common problems people have with Winamp. Let's take a look at it.
You selected the diskwriter output plugin to make wav files instead of sound. Now go back and select the wave out plugin to make sound instead of files.
It's so simple but it catches people all the time.
Some plugins can be turned off in their configuration, others have to be moved or deleted from the plugins folder. Move or delete plugins only while Winamp is not running.