WinAmp has issued a security update to their popular music player. If you are using versions 3, 5, or 5 Pro, go read the article from WinAmp here and then update your player here.
I'm not qualified to say whether the fix is really a fix since it appears the exploit can still be executed, although it would require your explicit permission but it still makes sense to get the update. The bottom line is security must include the user and this is, I think, a good example of that.