most song info is stored in tags in the file, although winamp can "guess" things from filenames, folder names, etc... but i turn all that guessing crap off, as well as turn off use artist for albumartist.
winamp has autotagger, (cddb/gracenote) but its really not a great one. its much more dependent on what tag info it finds, rather than an audio fingerprint or md5 hash of the file. i find it works, but only reliably like 60% of the time.
it finds album art separately, and saves it as a file in the folder named after the album. (art can be embedded in the file itself, but i don't do that)
i use autotagger only when needed, and only on an album by album basis, and i check each track b/c it can easily get one or more wrong even in the same album.
other programs do a better job, like dbpoweramp at tagging, but it costs money. WMP12 uses AMG, which is like a lateral move, but i think its better at art and somewhat better at comps. www.mp3tag.de
also has multiple free tagging functions and is free, (and very powerful).