when you uninstall winamp, also delete all traces of it's folders, since it can leave stuff behind, like in Program Files, before you reinstall it

Other possiblities include a virus deeper in the system, hence the alert and the weird files it was trying to access (why the heck does it need to access an .exe of all things?), I suggest you reinstall Windows


Personally, I prefer foobar2000 as an audio player under Windows anyway