what your asking for is a sort of gapless playback right? well if so, there are plug ins that do this. one i have that works fine is Dudsoft Gapless OutPut Plugin. This one just stops a song from playing when there is no more sound (gets rid of the the few seconds of silence one the end of some songs). there is another that is made for crossfading, but can be configured to load another song in memory so it can be played sooner... the name is Nullsoft Crossfading Output. I have it, but i dont know if it was included when i downloaded winamp or if i downloaded is seperatly. check the Plug-ins > Output section in your prefs.
hope this helps