No your soundcard does not have to "support" Ogg. It is a compression algorithm; Winamp decodes it into WAV-sound which all sound cards support.
...And for reference, next time read the readme that opens up after you install:
<< Q: Whenever I try to start playback, I get "The specified format is not supported or cannot be translated (...)" error message. Why ?
A: Go to Winamp preferences / plugins / input / Nullsoft Vorbis Decoder, click config, set output format to 16-bit. 24 & 32-bit modes DO NOT work on most of available sound cards. >>