Have you tried deleting the MP3 file type from WinXP and then re-selecting the program to open the file type? Go Tools>Folder Options find the listing for MP3 and delete the listing. If the 'Delete' key isn't active, click 'Restore' and then delete the MP3 listing. Click OK.
Go to any MP3 and double-click. You should get something like this:
Choose 'Select program from a list' and click 'OK'
Choose Winamp, make sure the "Always use..." checkbox is checked. Click OK. Check it now. If it doesn't correct the problem, try restarting and seeing if the changes take effect. If that doesn't work, I suspect it'll be Registry Diving Time.