Set your double click behavior to play now and MM starts playing the songs. This can be done in the options.

WinAmp and MM use the same technology and as such MM needs to be closed during WinAmp installation. This is not a bug. It's actually quite common that certain software needs to be closed during installation of software.

I start the player, I choose a drive , I move the mouse on the list of a folder: the bug is that on the first double click the player only selects the song and does not play it.
If the MM is on and I try instaling WINAMP, winamp asks me to close all instances of winamp