Winamp lets you add several kind of plugins, such as general purpose plugins. Since it doesn't know anything about .NET, I decided to write a proxy using C++/CLI (initially I did this using Managed C++). The result is a proxy DLL that will sit between a managed plugin (written in C#/VB.NET/etc) and Winamp. The proxy will simply delegate all calls from Winamp to the managed plugin.
To demonstrate the proxy, I've written a WinampAlarm plugin (source/binary included in the download). It's a basic plugin written in C# and is loaded by the proxy (which is possible due to a strict naming convention of the DLL's).
Usage:
Download the zip and move the gen_*.dll's to your Winamp's plugin directory.
Downloads: