In explorer window, click Edit,(if you can't see it, hit Alt>Tools>folderoptions>view>check "always show menus") there you have copy/move to options. I'm preferring the method my mate Bare Foot Kid posted for you, try it. Its really fast, right click on the file, and there you go, you have copy/move to.
About that winamp thing, you can change the settings from within, just uncheck the extensions you want to be played with different program. Its an alternative, but it should work, it doesn't hurt to try it right?