Use The Global Hotkeys

For some reason, this feature has been disabled by default, but it’s extremely useful if you’re listening to music while working on another program and don’t want to bother yourself switching to Winamp to change the song you’re hearing. Go to Options > Preferences (or [Ctrl] + [P]) > Global Hotkeys and check Enable. All the hotkeys are simple [Ctrl] + [Alt] shortcuts that work even when Winamp isn’t in focus. You can even add your own and customise what exists—which you might need to because volume controls sometimes don’t register with Windows XP.