There is a solution:
Link the extension "m" with "your Winamp3-Path
\mc.exe %1 /pause"
It waits for [Enter] before closing the application.
BTW: It's really minor, but it would be IMHO cleaner
not to output the entered keys before the [Enter], like NSIS does...
 What's the developers opinion about having a Winamp3 setting to assign the "m" extension? [/edit]