I have Winamp 2.95 on my 98SE computer, but I've upgraded it with the input, output, and DSP plugin DLLs from 5.35. In fact, the one good thing is that Winamp's DLL files are highly backwards-compatible, at least up through 5.3x. Or, you can install 5.35 or 5.36 Beta and then copy over the in_cd*.dll files from 5.34. However, several features relating to CD playback and CD burning were broken for 98/ME users as of 5.35, so the last Winamp version to fully work on 98/ME is 5.34. The last version of Winamp to run at all on 98/ME is 5.36 Beta. No link is provided to download a previous version that works on 98/ME you have to go to a third-party site like Winamp Heaven.
You have to look in the FAQ to see that the latest version now requires Windows 2000 or higher. None of this is made clear on Winamp's download page. Winamp 5.531 crashes with a Windows error message when you try to install it on 98/ME. Winamp 5.51 and 5.52 give a message saying that your version of Windows is 'no longer supported' when you try to install them on 98/ME. Winamp 5.50 installs successfully on 98/ME, but crashes when you try to run it. I found out today that as of version 5.50, Winamp will no longer run on Windows 98(SE) or ME.