If you don't already have the Winamp media player software installed on your Microsoft Windows personal computer, then you'll need to download that first and install it on your Windows PC.
Winamp as we know it is no longer officially in development. Although this means there will be no more official releases, the Winamp community still has a source for Winamp updates. WACUP (WinAmp Community Update Project) is an effort to keep Winamp up to date with not only bug fixes but new features as well. WACUP is the future of Winamp. You can download the WACUP installer which includes the latest official Winamp release. Check it out here: getwacup.com
The official Winamp is still available for download. The last released version is 5.666 Build 3516, built on Dec 12, 2013. Download links can be found on the following site: http://forums.winamp.com/showthread.php?t=373755
Direct download links are as follows:
Winamp 5.666 Full (Multi-national installer)
Winamp 5.666 Full (Basic 2.x-style mp3/cd player)
It's highly recommended to download WACUP or Winamp directly to your PC, however, you could download on your Android device and then transfer it over using USB or Bluetooth or Wifi.