Essentially you will have to write a Program which will run on your Lock-Screen and communicates with Winamp.
I think the easiest way will be to search for some regular Remote-Control Program for Winamp (I think it most likely will have to use a Network-Port, because I don't think you Program can send COM-Commands to another Desktop from the Lockscreen - but I'm not sure...)
You can just run the Remote-Control Program on your lock-screen, which connects to you winamp via localhost and you can even use the provided Interface, which will then appear on your lockscreen to control Winamp or use the Media-keys if the Remote-Control program supports them.