Sorry this reply is 2 months late.
Everything Winamp plays is first listed in the Playlist Editor. This plug-in (link below) allows changes made to what's listed there to be undone or blocked as determined by the options you select. Great for recovering from or preventing 'accidents' (yours or Winamp's) and for returning to what was listed there before, after a few deliberate changes are made that you change your mind about.
http://winampplugins.co.uk/plu.html
Your other issues mostly come down to learning how Winamp works. Some parts are mostly for management (viewing and editing metadata) and other parts are for playing the media.