I got bored and wanted to see if I could control Winamp with my voice. This is the result. It's written in C#, so everything you need is free from Microsoft.
Obviously you need a microphone if you want this to work.
Program download: http://www.mediafire.com/?ii1i8zmd0g309ci
Source download: http://www.mediafire.com/?t9g1a6t26gox57b