Stream to device
Ampwifi is not a music player, however, it supports streaming music from Winamp to your device. To play the streamed music you'll need to use a music playing app that can play streamed music. It just so happens that Google includes such a player with all of it's Android devices; Google Play Music. Other apps that work are RockPlayer Lite and ES Media Player and possibly many more on the Google Play Store.
When you select the Stream to device option you'll most likely be presented with a Complete action using dialog. This gives you the option to select which music player you'd like to play the streamed audio.
Not all the players in the list may actually work for you so you may need to try different players. Once you find one that you like, you may wish to select the Use by default for this action checkbox. You can only play one song at a time.
NOTE: This feature may not work with older versions of the Music app, or with older versions of Android. If your connection to Ampwifi uses authentication (username & password), this feature seems to fail on versions of Android older than Ics Cream Sandwich (Honeycomb may work, haven't tested it).