There is a plugin called A-Play by Egghead Software which does this.
If you can't find it let me know and I'll send you a copy.
And you say people actually pay money for M$ Windows? www.mp3mini.co.uk (Does what it says on the URL) www.openclassic.co.uk (The new car, with zero rust!) www.rob-web.co.uk (My other site)
Total re-design underway: on the whole progress is very slow as the car is taking up too much time :)
If you don't care about what song on the playlist gets played, merely create a shortcut in your startup folder to the winamp.m3u file in your winamp directory. This playlist is a scratch file that WinAMP uses for the current list, even if it isn't saved.