Winamp is just an application like any other which means you download its setup package and install it on the available operating systems. No, you can't install the software as a resident program because it could easily be uninstalled through Control Panel or through its uninstaller. However, you can free the installation partition with the help of an application called Deep Freeze. Install Winamp, install Deep Freeze and lock partition, then even if you delete the program, at the next restart, Winamp will be there.