I don't want to do that!
After a lot of search I found the trick - simply right click the Repeat button - there is an option "Manually Advance Playlist". That means Winamp won't go to the next song until you click some song, and if the Repeat is also ON, the current song will repeat!
May be this option does not present in very old versions - I don't know. I decided to share it because I found it very difficult, and don't even remember where :(
So If you are like me - love to listen one song over and over - Enjoy!