KPF detected an outgoing connection form winamp (ver. 5.02) to the site http://211.115.216.25:80 , I typed this IP address in the addessbar and it opened a site of a communications company called "Bigfoot". Is Winamp -somehow- spying on me?
Winamp includes a minibrowser which would need Internet access if you use it (for instance to view album details). It may also be doing a check for an updated version. The best way to avoid this is to go into your Winamp configuration and tell it you have no Internet connection (this is a good idea for any software which does not need Internet access for normal use). This should stop any further connection attempts.
Winamp is not spyware but it can be turn into spyware easily. There are games (like wild tangent games), plugins, and even skins on the winamp's web page that are pure spyware. Just keep winamp lean by not downloading that stuff and rid of all stuff you already have installed in winamp.