OK Let's start all over again
A m3u file is a Playlist
file. A playlist is simply a collection of file references. The goal of a playlist is just to "tell" winamp what to play. Which means that the playlist doesn't contain the actual files
If you like you can open a m3u file in Notepad and see how it is done.
What I don't understand is when you say that you save your files in m3u. Aren't the mp3s you're playing on your hard drive ?