When Winamp is installed it creates the enqueue verb for most audio files in the registry.
Applying audio associations in Winamp should also install the enqueue verb.
Everything uses this information in the registry to launch and enqueue with Winamp.
It doesn't have to be Winamp, it can be any media player that supports a custom "enqueue" verb.
The registry entires for the enqueue verb should look like this:
[HKEY_CLASSES_ROOT\.mp3]
(Default) = Winamp.File