Ok, there seems to be some confusion on the Version of Winamp to use. 2.95 is recommended by Guino, but will not work with the transparent visualizations. In ANY case, make sure that you use the "Classic Skin". The Modern skin will just cause problems, and you will never see what WinAmp looks like anyways.
Here is a quote from the DFX Help file on how to set up the transparent visualizations :
It even has the link to the version to download
How Do I.....Change the Visulization to a spectrum analyzer? Ok, this modification is not for the faint at heart, and you will need to make a few settings changes to make it work correctly. Unless you really want to get deep into this, do not attempt this, as a newer version of Winamp is required, and it is not supported by Road Runner Officially. You will need to download and install Winamp 5.13. Winamp versions between 5.2 and up WILL NOT WORK! You can download Winamp Version 5.13 HERE