If you wish to prevent winamp from connecting to the internet you can simply disable it in windows firewall. Be aware this will prevent it from adding album covers, album and artists details, etc to the library and prevent it from letting you know when the updates are available.
If you wish to turn off the library pan, you will notice everything from the play and pause buttons to the adjustments to the audio levels is in a separate window you can pull away from the whole thing, you can simply click the X in the top right of any of the pans and they wont appear when it starts up unless you enable them again.
As for milkdrop, no sorry you can't adjust the presets.