You probably need to go into Option / Preferences / File Types in WinAmp and uncheck the file types boxes that are associated with the other players. Each player will have a preferences section where you can check off the types of files they are associated with. Right now, it sounds like your WinAmp is associating with all file types and that's why it is the only player opening. You can also go into Windows (Control Panel) and asscoiate certain files types to always open with certain players.
Thanks for your replies. I've tried th change which program is associated with the file types and I still have this same problem. If I associate Itunes to this file type, then Itunes also opens when I select Winamp.