It can be annoying if your audio player has an over-all quieter sound than Windows and other applications, so their sound always overtune whenever you're listening to music. To raise the volume of Winamp alone without meddling with any Windows settings you can use the built-in equalizer which has a pre-amp setting.
To get there go to View > Equalizer:
Turn the slider on the far left side up to the top and click On.