Try opening up a windows explorer windows and dragging and dropping the song files into your playlist in Winamp.
Actually this works really well for making a playlist. But I hit the up arrow button on the top portion of the winamp and drug the mp3s into the playlist. This negates having to use the enqueque feature and saves a step. Thank you, Doom.
I am still perplexed about how to set the enqueque feature.