First of all, get the QuickTime Player; yep, nobody loves it, but we can't play the files without their wonderful codecs.
Then, in order to Play the AMR files using Winamp:
Download and install MediaLooks QuickTime DirectShow Source Filter.
It is a DirectShow filter, so, after installation, run:
C:\Winamp\Options\Preferences\Plug-ins\Input\
And double-click the Nullsoft DirectShow Decoder in order to pull up it's settings dialog.
Click on Configure button and add ;AMR to the extension list.
Play the files using Windows Media Player
Download and install River Past QuickTime DirectShow Filter for WMP.

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