Maybe you minimized it? Minimizing apps now and then causes Windows to either swap out (to swap file) or just somehow kill some memory usage without it showing anywhere. Recommended to minimize and then maximize some apps now and then.
Startup, 20 song (MP3) playlist loaded:
CPU Image Name CPU Time Mem Usage Peak Mem VM Size
00 xmplay.exe 0:00:00 6,308 K 6,512 K 4,748 K
00 winamp.exe 0:00:00 7,520 K 7,568 K 6,360 K
Playing for 10 minutes:
CPU Image Name CPU Time Mem Usage Peak Mem VM Size
02 xmplay.exe 0:00:12 6,732 K 6,740 K 5,144 K
00 winamp.exe 0:00:00 8,452 K 8,792 K 7,040 K
XMPlay 2.5 w/ shnAmp, in_mid.dll, in_mt2.dll plugins.
Winamp 2.80a w/ shnAmp, in_ogg.dll, in_mt2.dll plugins and then those default ones.
No mods loaded in this test, but I've consistently seen higher memory usages with XMPlay. Of course, it sounds a lot better than Winamp's shoddy mod support.
Oh, and this is with WinXP plus ConservativeSwapFileUsage=1 in win.ini for less virtual memory paging and more RAM usage instead. I'm sure I would see less RAM usage and instead a lot more VM usage with it disabled.
[Edit] It seems ConservativeSwapFileUsage=1 might not do anything in XP anymore... but I distinctly remember it having a slight effect in 2K.