I decided to try Winamp5 today as a request and write up a short review(in much protest) about how it functions and the process of making it portable. It used to be as easy as using Universal Extractor and then renaming some folders and paths. Now on the other hand, you have different fingers. Winamp is easy to use and can have a very simple and minimalistic interface is very customizable. If you try to use Universal Extractor you'll be in for a world of frustration over what goes where and what to change. You'll also find about 5MB or more of useless data should you you feel brave enough to attempt this method of rolling your own portable Winamp. After searching around some forums I found that the easiest method would be to simply get the installer and do a quick install, make a copy, and then uninstall Winamp.
For those who feel brave enough to extract the files manually, you may be interested to peek at some of the useless extra files.