Have you tried restarting? Sometimes Winamp flips out and stops playing sound for me, and it usually fixes when I restart.
I'm assuming it's nothing in your volume controls, since you said MSN sounds still work. But you could try looking in your Volume Control, too, and make sure nothing's muted or turned all the way down that shouldn't be (Start --> Settings --> Control Panel --> Sounds and Audio Devices --> Volume [tab] --> Device Volume [section] --> Advanced).
You could also check your audio devices (Start --> Settings --> Control Panel --> Sounds and Audio Devices) to make sure the correct audio devices are set and all that.
Hopefully for your sake (considering you don't seem to know much about this considering your question), it can be fixed with a simple reboot.
