The way I did it (as per the directions on Winamp forums) was to install a free Real player. Then in Winamp configuration, a tweak in Plugins > Input > Nullsoft DirectShow Decoder (adding .RM extension) got Winamp playing the files. It seems long in text but is real (!!) easy.
The way my friend did it was – 1. Install a Real player and 2. Install some plug-in which then allowed Winamp to play the files. After all, the plug-in was less than 100 kB. Who would bother with all that config details anyway. Not to say that for a free player that plays all possible media, Winamp barely reaches its worth.
Oh well, I can’t say any more to him. If installing a plug-in is the easier way out, Godspeed. As for me, I see nothing wrong in getting familiar with the nitty-gritty of a software, specially since its one of the few I use proudly.