(assuming you are using Windows XP)
Open in the windows control panel and load the "Folder Options" menu.
Click the "File Types" tab.
Scroll down the list until you see M3U.
Select M3U and click the "Change" button.
When the window pops up asking you what program to use when opening an M3U, select "Winamp" from the list and press OK.

Now the radio playlist should open in Winamp.