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(Solved already, writing this for the next guy)
I noticed that whenever I start Winamp it notifies me that a new version is available, even though I go to Options->Preferences and uncheck the checkbox saying "Check for new version of Winamp at startup"
After some testing, I realized that after unchecking the checkbox, then closing and re-opening Winamp, the checkbox is once again checked.
How can I turn off the new version notification permanently?