There are easier ways and there are harder ways... It depends on what OS you're running.
If you're running a "Pro" or "Business" or "Ultimate" OS there's a software restriction policy and group policy stuff you can use to lock it down pretty well if you're careful.
http://www.mechbgon.com/srp/index.html
You can't as easily use that with a "Home" type OS because we all know that Home users having wild parties don't need computer security or anything... thanks Micro$oft.
I think there might be some kinds of 'Parental Controls' type things in some OSes.. not sure about XP or if it's just Vista or what.... that might help.
Keep in mind you'll have to lock out booting from floppy, USB flash drive, CD, etc. You'll also have to completely disable "AUTORUN" for floppies, CD, USB drives, iPods, digital cameras, etc. etc. or you'll be infected and 0wn3d by the first thing someone plugs into your PC that has a virus or hacking tool on it.
You should create a new LIMITED permissions account for the party and then if you can't do the registry hacks to set up software restriction, at least do the hacks that prevent dos command shells, loading internet explorer, using windows explorer, etc.
http://www.jsifaq.com/
has some info on security related registry hacks for that stuff.
I am sure there is some "parental control" type lock out software that you can find but who knows how secure it is or whether it'll permit unrestricted winamp access or if it's free or not.....
You might consider just booting from a BartPE CD or better yet a Linux LIVE-CD and mapping the shared music files you have so they can be accessed by a media player but nothing else in terms of the files on your hard disc is easily accessed. But you probably have to know a fair bit about sysadmin to do these things....
Or if you have a spare drive... just copy the music to it, install XP or whatever on it temporarily, UNPLUG the real main hard disc, use the 2nd drive for the party, format it afterward....