Step 1: Create and assign a music folder. Basically, make a folder anywhere on your PC. Then, go to Options (in NS) and click on advanced options. Place the location of your new music file in the correct field, and hit OK.
Step 2: Place all desired music into your NS music folder.
Winamp 5 has global hotkeys (or whatever it's called), so you can bind stuff like play, previous/next and volume up/down to whatever key you want which will probably work in any game as long as it doesn't need the mapped keys.
Winamp is probably a bigger CPU hog than the minimalist one in HL. Besides, you've already got resources allocated for playing sound effects and whatnot, and you can avoid redundancy by using those same resources to play music.
As Winamp 5 uses up alot of cpu power (and memory), I suggest you either use Winamp 2 or use the built-in amp in nnscript (even smaller memory usage than winamp 2, I recon).
Winamp 5 running in classic mode takes about a whole 2 to 3 megs of ram, equal to that of Winamp 2.
If for some reason you choose to stick with Winamp 2 there is aalso a global hotkeys script that can be downloaded that provides the same built-in function in winamp 5
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Step 2: Place all desired music into your NS music folder.
Step 3: Enjoy.
If for some reason you choose to stick with Winamp 2 there is aalso a global hotkeys script that can be downloaded that provides the same built-in function in winamp 5