Right click the main window in Winamp and select the first option "Nullsoft Winamp Pro" and it comes up with an About Winamp window which tells you the current release and build :)
that information isn't guaranteed to be there for all client releases (though should be with anything in the last few years). otherwise you have to look at the winamp.exe file properties to find out the build number from the version string.
Infernus Animositas: if you've got build 3516 installed, make sure you also apply the plug-in updates from http://forums.winamp.com/showthread.php?t=373755#updates (which i posted earlier along with mentioning what the 'current' Winamp release is :) ).