First of all a Winamp media file doesn't mean anything. The Winamp icon
simply means whatever type of video file it is happens to be associated with
Winamp.
One way to find out what the actual extension is would be to use Windows
Explorer and make sure "Hide Extensions" is turned off.
To do this click Tools -> Folder options.
Click the [View] tab
Find and remove the checkmark from "Hide extensions for known file types"
Now the file extension will be visible in Windows Explorer.
Now that you know what type of file it actually is you can properly convert
it. For information and programs to do the job see this website: http://www.videohelp.com/convert