The Play/Pause key on the Microsoft Natural Keyboard 4000 (and other media keyboards) doesn't work properly when Microsoft's Intellitype software is running. Somehow Winamp has left this unfixed for years. Here's a workaround:
In the Intellitype settings (Control Panel -> Keyboard -> Key Settings), change the Play/Pause key to a macro that sends some other keystrokes, e.g., Ctrl+Shift+* (Intellitype makes the Alt-key hard to record, so I leave it out). Then, in Winamp's settings, enable global hotkeys and change the Playback: Play/Pause hotkey to the same value.