When I installed Litestep, I said that WMP was my default media player. I have downloaded and installed Winamp now and I want this as my default so I can use the miniamp at the bottom of the default theme.

How do I go about changing this setting?

You can run EvarConfig.exe in your utilities folder, assuming a standard OTS install, or just edit the MediaPlayer and/or AudioPlayer evars in the evars.rc file (in your personal folder).