The "MMSYSTEM002 / device out of range" error message is caused when Winamp tries to play on a non-existant sound card.
Go to Winamp -> Preferences (Ctrl+P) -> plug-ins -> output.
Double click the waveout plugin, and set the "output device" to what best describes your sound card. For example, I have 'wave mapper', 'modem #1 line playback', 'modem #1 handset playback', and 'sb live! wave device' listed. The default is 'wave mapper'. My sound card is a sound blaster live, so I selected 'sb live! wave device'. If that still doesn't work, try reinstalling your soundcard drivers. If that doesn't work, make sure you have the latest DirectX drivers
and try selecting the DirectSound Output plugin instead of WaveOut (Prefs -> Plugins -> Output)
Also, a simple reboot might fix your problem, especially if you're using an old soundcard or shabby onboard sound chip.
Win9x/ME users should make sure the following line (see bold text below) exists in the system.ini file. Note: this will only take effect after rebooting.
Start -> Run -> sysedit
RE: MMYSTEM002 Error (Device ID out of range)
Re: Could not create Direct Sound Object
[Edited by DJ-Egg : Jan 2002]