I haven't used either of those programs in a while, but I can guess.

1. Taskbar icons don't have much to do with RAM usage. I would imagine that WMP9 uses way more RAM than Winamp.

2. Can WMP save a playlist? Try to save it in .m3u or .pls form. Winamp can open playlists in those formats. If not, Winamp can nicely load music by folder. Click Add, then Directory (or folder, or whatever). Then pick a directory. Have it search subfolders too.

3. I imagine that Winamp can play .wma files, yeah. If not natively, there's almost certainly a plugin for it.