I have run WinAmp from a CD before I think.
/me goes off to find the CD to check
Damn I can't find it. I am pretty sure I did though. I think I made a playlist loaded it into WinAmp and then copied the files onto the disk. Simply as that. You can add a autorun command to the CD simply enough to startup WinAmp.
Now I remember. I did it so that I could take it to uni and use it on there computers because we couldn't install anything on them. So it can be done. Version 3.xx I used. Maybe 2.xx. Sorry. Wish I could find the disk so I know exactly what I did.
I should read all the posts. It seems you have done it. Oh well.