Open your system.ini file (Run -> sysedit.exe) and find the line that says shell=explorer.exe. Replace explorer.exe with winamp.exe (you'll probably need the full path, usually c:\winamp\winamp.exe or something similar). I must warn you that when you do this, you won't be able to run anything except WinAMP. If you want to boot into the Windows shell, you'll have to edit system.ini in DOS mode to say explorer.exe again.
One thing I've found helpful in fiddling with the SHELL= variable is to comment out the line (place a semicolon ( as the first character on the SHELL= line) instead of deleting it. Then I can just switch my comment marker ( and reboot the system back into normal Windows for testing/debugging and to get access to explorer again for copying MP3s from my home system to my car PC.