This article explains how to create a playlist in Winamp. Instructions apply to Winamp version 5.8.0 and later.
Winamp Tutorial – Play
If you use Winamp to play music files, you can make your life easier by creating playlists. By organizing your music library into playlists, you can play your compilations without having to manually queue songs every time you start Winamp. You can also create music compilations that fit different musical moods, burn your playlists to CD, or transfer them to an MP3 or other media player. You can create a playlist in just a few steps.
If it isn't already selected, select the Media Library tab (you'll find it below the playback controls on the left side of the screen).
In the left pane, right-click Playlists and then select New Playlist from the pop-up menu that appears.