What version are you using? I was using winamp5, and I just checked (re-installed it, just to check) but i don't think that Winamp5 does make m3u, though it does play them. My bad.
Just checked on VLC player, and all you have to do is open up the playlist, (View-->Playlist, then load up the files you want to make as an .m3u into the playlist by dragging them onto there. After that, click Manage-->Save playlist. Simple as.
VLC is also a good media player in that it supports tons of media formats (even .flv), as well as does what you want (making those .m3u files).