Ok, I'm posting this because I've seen SO many people ask about this, I've seen it answered in many different ways, and (unfortunately) this question has not been added to the Winamp FAQ.
You installed Winamp. You're behind a firewall (if you're using Winamp from work, you probably have a firewall). Everytime you play a track from a CD, you get a little window that pops up titled "Retrieving CDDB information..." and it always displays an error "Error connecting to cddb.cddb.com:8880".
If that situation describes YOU, then keep reading, otherwise this stuff won't apply.
WHY ARE THE GODS PUNISHING ME!?:
Actually, no matter what you do, you won't be able to get Winamp, as distributed by Nullsoft, to work with CDDB. THIS PROBLEM WILL OCCUR EVEN IF YOU SET YOUR WINAMP PREFERENCES TO USE A LAN CONNECTION AND YOU CORRECTLY SPECIFY YOUR COMPANY'S PROXY SERVER AND PORT. Those settings do not affect the CDDB interface.
You see, the CDDB interface is provided by one of the Plug-Ins, not the Winamp core application. If you look in your Winamp Preferences -> Plug-ins -> Input you will see one called "Nullsoft CD/LineIn plug-in v1.7", the version number might be slightly different though. If you select this plug-in and click the Configure button you will see all the CDDB options you can set. In the field for CDDB Server, you should see "cddb.cddb.com:8880" or something similar. And herein lies the rub-
CDDB uses its own protocol to communicate with CDDB servers. You can't connect to a CDDB server because your firewall does not allow the CDDB protocol to pass through. To get around this problem, many CDDB applications allow you to use CDDB over HTTP because HTTP is allowed through firewalls. However, this plug-in does NOT support this. Even if you try to type in the URL for a CDDB HTTP server, it will not connect to it. For now, you can at least disable the CDDB lookup by clearing the checkbox for "Use CDDB". If you want to spend some more time and possibly get this working, read on...
You MAY be able to get it to work if you modify your firewall to allow the CDDB protocol to pass through. There are many ways to do this, and it depends on the features supported by your firewall. If you're in a corporate environment, you probably don't have access to just go fiddle with the company firewall, so you'll have to contact an IT administrator to do this for you. Basically, tell them you need to connect to this particular server "cddb.cddb.com:8880" using a proprietary protocol. In most large companies, you have a snowball's chance in heck of getting them to say "yep, we're on it!", but in case you do...
If they agree to allow this, you may not have to change anything- the CDDB lookup will just start to work. However, again depending on the firewall you have, they may require you to change the address of the CDDB server you are connecting to. This is because they may require you to specify a "dummy" server which the firewall will map to the real CDDB server. You cannot change the CDDB server setting from the plug-in configuration screen. You have to go to the directory you installed Winamp and edit the WINAMP.INI file. Search through the file till you find the following section:
[CDDA/Line Input Driver]
Change the 'rt' and 'rver' settings to whatever your IT guys say you should use. I know it looks like these lines are missing the first couple characters (shouldn't it be "port" and "server" instead of "rt" and "rver"?), but this is the way it is supposed to be. Odd but true. Once you finish making the changes, save the file and restart Winamp. The CDDB lookup should be working- if not, bug your IT guys because they goofed something up.
Some people have posted that using the CDReader plug-in instead of the Nullsoft plug-in will get around the problem. This is NOT true. The CDReader plug-in also does not support CDDB over HTTP, but it does make it easier to specify the address of the CDDB server to connect to. Obviously, just specifying another CDDB server won't solve the problem if you can't get outside your firewall.
WHAT NEEDS TO BE DONE?:
Nullsoft either needs to modify that plug-in so that it supports CDDB HTTP servers, or build CDDB HTTP server support into the core Winamp application.
Some other plug-in developer needs to implement this. Unfortunately, it seems they would also have to implement the CD-player functionality as well, because these two seem tied together by the Winamp architecture (Winamp guys jump in and correct me if I'm wrong here).
UNTIL WE ARRIVE IN THE PROMISED LAND...:
You can just dis-associated Winamp with audio CDs in the Winamp preferences, and use some other player with CDDB HTTP server support as your audio CD player. For everything else (especially MP3s), stick with Winamp- it's still the best free player out there
Hope this helps,