there is no native functionality which will do that. the Winamp ethos has been to leave you the user to determine where and how they are located instead of being set to a specific program setting.
there is a 3rd party plug-in (
http://forums.winamp.com/showthread.php?t=2714660 which does it but it appears to not be developed anymore and you use it completely at your own risk.
-daz