I have found winamp.bm in either c:\program files\winamp or in c:\documents 
and settings\your name\aplication data\winamp
depending on when you installed winamp.  In windows 7 documents and settings 
is called users.
The confuzing trick, is winamp makes a copy of the file, that it actually 
uses called winamp.bm8
I think this file is erased when you turn off the computer and start from a 
cold boot.
Not exactly sure how that works.
If anybody wants my bookmarks, write me off list.
The file needs occational editing, because stations constantly change their 
audio links.  They want you to visit their home pages.
Right now, I can't get my WMVP link to work.  The shoutcast links are 
particularly on and off.