I played around with this a bit yesterday (substituting wmplayer for winamp), but couldn't quite get it working as a web script. However, the following script did work when executed from the command line:
<?php
exec('"C:\Program Files\Windows Media Player\wmplayer.exe"');
?>
So I'm guessing the problem has to do with opening a windows app from inside the Apache process. If I have time, I'll play around with it some more later.