That's why it's not working, because px.dll is the main sonic library,
so if the Sonic Engine isn't loading, then there'll be no Add/Burn buttons.
Maybe some other concurrently running program was using px.dll at the time (eg. roxio, sonic mydvd, ms photo suite), and therefore the Winamp installer couldn't overwrite it. Either that, or you needed to reboot before being able to use Winamp's Burning features...?
Se here for the (hopeful) solution: