you say you have winamp 5.66, but the latest current version is winamp 5.666 (build 3516).
I had the same problem as you, with vgmstream preventing winamp from starting up somehow, but using the latest versions of both winamp and vgmstream fixed it.
5.666 build 3516 (http://forums.winamp.com/showthread.php?t=374929#download) + update patches (http://forums.winamp.com/showthread.php?t=373755#updates) is what should be used (and definitely not the mad suggestion made above to use an 8yr old version).
as there were issues with the 5.66 release (and earlier 5.x releases) which cause issues with recent vgmstream builds which should not be an issue when using the current Winamp release (since there were specific changes made in the final 5.66x builds to ensure vgmstream would work with it).