NOTE: The tutorial below uses MP3 to WAV as an example but you can use the same procedure to convert ANY file to WAV that Winamp will play.
CHANGING THE SETTINGS:Open Winamp and click Options and Preferences in the drop down menu.

In the Preferences area select Output in the Plug-ins options, change the selection to Nullsoft Disk Writer plug-in and click Configure.

In the Configuration area click Output directory and select where you want your WAV files to be written to. Place a check mark in Convert to format, make sure that the selection reads PCM 44.100kHz, 16 Bit, Stereo and click OK.

Click the Close button on the Preferences window. You are now ready to convert your MP3s to WAV files.
READY TO GO:Find the MP3 that you want to convert and open it with Winamp. If Winamp is your default player for MP3s then double clicking on the file will open it into Winamp automatically. If not, click the button to the left of the 123 button which will open a directory window.

Use this to find the folder that you keep your MP3s in.
When the song is loaded click Winamp's Play button. You will notice that the song seems to be playing at double speed and you don't hear any sound.
Don't panic! - you're not supposed to hear anything.

When the song stops playing go to the folder that you chose to save your WAV files into and you will see a new file with the same name as the original. If you chose to save the WAV file in the same folder as the original MP3 file the new WAV file will have a number next to it.
NOTE: Converting your MP3 files to WAV files WILL NOT delete the original MP3.
REWIND:Don't forget to revert back to the initial settings when you've finished. Just repeat the initial process but select DirectSound output instead of Nullsoft Disk Writer plug-in. Now when you play your MP3 file you will be able to hear it again.