If Winamp shows you the right names of you songs, so the TAGs are O.K.
You have to adjust you filenames with Preference -> File and Folder Correct -> Rename File From Tags. Check the mask, read the help and then adjust the mask to your needs. After that use STRG+S to save the changes.
using Jaikoz 10.0 NGS and as a backup Jaikoz 7.1.1