everytime you switch to another desktop, winamp comes too and displays all separated randomly.

disable the LiteStep support in Winamp

Do that (especially the second option to prevent crashes) and have *VWMSticky's for all of its windows. Of course then you'll have winamp on all desks :) instead of only on one, if that's what you wanted.

I believe the winamp devs have been aware of this for some time...

Here's what I use with RabidVWM:

or you could just put

in your step.rc, and control winamp entirely though litestep

I don't want winamp to be on every desktop though, although that is better than having to place all the winamp pieces back together everytime. I guess it will do until winamp fixes the problem.