Yeah I had some trouble with that too.I believe you can go into the preferences somewhere and tell winamp which filetypes to associate with.Just do some digging.I am still using an older version,and if I remember right it asked me during the installation if I wanted it to be the default player for windows media or something like that.I chose no,I only wanted it to be default for mp3's and nothing else.But I'm pretty sure you can change these things after the fact.
Now a problem I had with it that I never did figure out,is I have programs that keep log files,and after installing winamp,all log files have the winamp logo.I could not figure out a way in winamp or windows to fix this annoying little problem.There was no reason for it to associate with log files since they are basically text files.I'm like you....things like this really piss me off.