You need to go to options > saving and browse for your My Music folder and select it. press apply and ok.
From here hopefully you know how to get tunes into win amp (as I don't) and create playlists there. I advise you to dissable the limewire player in options
>player and then the enqueue function in Limewire will not work. You can controll your playing from win amp. The limewire player is not very good
You may need to adjust your shared folder(s) as well which you can do in options>sharing.
A WORD OF WARNING. Do not use the delete button in the library on any file that you do not wish to delete as you will delete it from your hard drive without it going to the recycle bin! End of File.
I hope this helps, please let us know if you need more help