First question: I'm using Winamp 2.9, but no matter which version you're using, it should be about the same. There should be a window open that says "Winamp Playlist" when you run Winamp. If there isn't, hit Alt+E to bring it up. In the bottom right hand corner of this window, there is a playlist options button. Click it, and go to "save list." Save it as an m3u. Close Winamp, run Nero. It actually is necessary to close Winamp, because it will fight with Nero over who gets to open the files sometimes. In Nero, choose to burn as an audio CD. Find the playlist file you created, and drag it to the left. Now burn. You are done. The other two questions I don't think I can help you with.
EDIT: I just reread your post, and realized that you burn the CDs as data. My method only works if you burn them as audio. Sorry
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