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You need to select an output plugin that doesn't output the sound as sound in your speakers, but as sound data. Winamp will then make a wave or mp3 file out of any of the formats it can play in your speakers. What output plugins does your winamp have?
Run winamp, then press ctrl+p. Now the winamp preferences should show up. To the left there should be a list of stuff. Find "Output" under "Plugins". There should now be a list of output plugins to your right. I have one called "Diskwriter". This makes wave files out of anything. Do you have it?