Winamp........???????????
All the CursorXP sounds are wave files...Winamp can't be a good thing in regards to CursorXP. I'm not certain that that in itself wouldn't prevent the cursors file from working correctly....
If all else fails, then you might want to re-associate it with Media player. You do have all the sound files in the CursorXP Sound folder, correct? Click on one and see what happens.,