But I don't think it's related to Winamp.
The option you're talking about it's on Winamp and checked. It says:
Winamp Preferences > General Preferences > File Types: "Show Winamp in the folder context menus in Windows Explorer"
The options that appears from Winamp are: Play in Winamp and Enqueue in Winamp.
All the options use the Winamp player.
The context option I'm looking for it's just 'Play', It opens a small player just with one button Play/Stop and with a music length bar. Windows visual. Without any options/menu.
The strange. I never installed another mp3/audio player in my computer. And if that was the case, if it was a program it would be installed (like all the others) after I upgraded to Windows 7.