DRAGON: ? Žeby?
What do you mean by "Winamp History" exactly?
If you're referring to the History view in the Media Library...
Winamp > Prefs (Ctrl+P) > Media Library > History:
Uncheck everything
Winamp > Prefs (Ctrl+P) > Media Library > Local Media > Options tab:
Uncheck: Enable 'Recently Played' view in Media Library
The only other 'history' I can think of is the recent url's etc in the drop-down menus of the Open File dialogs. You can clear those by closing Winamp and editing winamp.ini accordingly.
RecentURL1=
etc
Note, winamp.ini is found in the Program Files\Winamp root folder if you selected 'shared settings for all users' in the install options, or in the %AppData%\Winamp folder if you chose 'separate settings per user' (where %AppData% is usually C:\Documents and Settings\(Username)\Application Data).