Alas, you've not provided us with any/enough relevant information to help diagnose the problem, not even your Windows OS.
If you kept the default setting in Screen 4 of the installer options
Multi-user settings: shared settings for all users
and you installed Winamp straight on top of the previous version (ie. in the same folder, which by default is C:\Program Files\Winamp)
then your settings, bookmarks, media library, everything WILL be exactly the same.
If they aren't, then we can't reproduce the problem.
If you selected "Separate settings per user" instead of the default setting,
then the 5.2 installer will create a paths.ini file in your Program Files\Winamp folder.
The paths.ini file contains a single instruction to tell Winamp to save settings to:
C:\Documents and Settings\(username)\Application Data\Winamp
and that is where it will create & save all new settings
As explained in the link via my first post above...
The "Application Data" folder is hidden by default, so you need to make sure you can view "hidden files & folders" in Windows Folder Options.
Naturally, replace "(username)" with the actual folder name of your user profile.
If your Windows OS isn't NT based (Win2k/XP) but is Win9x based (Win95/98/98se/ME),
then the User Profile folder is in C:\Windows\Users\... (or was it Windows\Profiles\...? sorry, I can't remember offhand).
And as also explained via the link, you can just delete paths.ini to restore the old behaviour (same settings for all users).
As you can see, aijoovai's problem was solved, so if yours isn't solved by using the same instructions, then it would seem that you've got an entirely different problem to the one outlined in this thread (regardless of how similar it may seem to you).