What version of winamp are you using?
I am using 2.95
I don't know how your music is stored on your system but I store my music like this:
My Music <-- the root folder were my music is stored
-Artist Folder<-- artist name ex: Linkin Park
--Album Folder <-- album title ex: Minutes To Midnight
---MP3 Files <-- ex: Shadow Of The Day.mp3
---Folder.jpg <-- require inorder to diplay the coverart unless you are using Mp3Art.dll that displays embed coverart like WMP.
Make sure that in the RR Config under General --> Page 3 you select Internet Explorer as you web browser and not Firefox
Make sure that in the RR Config under Music --> Page 2 you select AVS Window under Visualizatoin Plugins