It really depends on what you're intending to do though in general Winamp plug-in documentation is pretty poor and comes down to whatever header / examples / existing plug-ins are provided or just asking someone who might know and seeing if they can help or try to find out that information for you.
It also depends on if you're looking to make a true plug-in (which is trickier to do iirc with C# compared to say a C/C++ setup) or if it's an 'external' tool which is going to be limited in what it can do but you can then typically work in whatever language you want to do.
So best thing to do is to ask away and see what answers come

-dro