Don't try that multiple instance thing, that will result in Winamp loading a song and replacing it fifty times.
Go for that "Enqueue as default action" thing. Or, if you usually use Winamp to open single files, don't but open multiple files by a right-click on them, selecting "enqueue in Winamp".
Enqueue = add files to playlist
Open: Replace playlist-contents with a file / a folder's contents.