I'm in Linux, right now, but XMMS is almost an exact clone of winamp, so...
Go to preferences -> plugins -> input -> Nullsoft MP3 decoder (or whatever) and click properties. Somewhere in there should be the place where you choose what goes on the scrolling marquee. There are codes for what you want to show. Just put %7 in that box for it to show the filename.
Next, bring up the playlist. At the bottom of the playlist window there is a button that says "Misc Opt". Clicking on that should bring up a few more buttons, one of which says "Sort list". Under there is an option "Sort by filename". Click on that and you're done.