winamp for linux? didn't know it existed... I'd probably suggest just using "real" linux packages, you'll already have a myriad of media stuff installed. You didn't say what distro you're doing this in, but on ubuntu a tool like synaptic lets you just directly click one of thousands and thousands of packages to install directly, no web browsing, no downloading, no setup.exe nothing... does windows do that?
if you do have a program you do want to install from rpm (suse uses rpm's, ubuntu doesn't.. you can convert but it's not fun.) you can run "rpm -Uvh winamp.rpm" and you're done. you can probably actually just double click on it and have your desktop manager install it automatically (wihtout any next next next next finish nonsense