Well, you need an MP3 Output plugin for Winamp.
This for example:
http://www.winamp.com/plugins/details.php?id=177
Download it and install it in the Winamp Folder.
Then open Winamp and open the file you want to convert.
Click with the RIGHT side on the Main Window and a Pop-Up
Menu will appear. Go to "Options" and "Preferences".
On the left side under "Plug-Ins" is the "Output" Option. Go there.
Next mark the "Nullsoft MP3 Output Plugin" and click down under
on "Configure". Set the place where your Mp3 will be saved and
select the Quality. Then close the Menu and simply "Play" the music
file. It should normally be converted into MP3.
Don't forget: if you want to normally listen to the music without any
convert, you must change the output plugin from "Nullsoft MP3
Output Plugin" to "DirectSound output".
Hope this helps.