So you created an "external player with playlist" as the admin user under
Settings > Players yes?
Then as whatever user you have the player near the bottom from the drop down menu to the left web player.
When you do select your external player the web player should disappear.
When you press play you should be asked to download a .m3u file (play.m3u) which is the playlist you should open with winamp.
You didn't say what browser you're using. If you're using firefox then you should go to Tools > Options then Click on "Applications". Under the content type scroll and find
MP3 audio
MP3 audio (streamed)
MP3 shoutcast playlist
You should set these to either save file or set these so that they are opened by winamp. You may have it set so a browser plug-in tries to open these files automatically which you don't want.
I believe other browsers rely on windows file associations.
This post may also help you...
http://forum.subsonic.org/forum/viewtop ... highlight=