I don't know why, but in the pakage exist a file with non latin simbol in name. That is the problem.
So I rebuild the winamp.msi with WinInstallLE and remove this file. The problem is that I don't know what exactly is doing this file. But now installation do not give an error.
I hope this will help for building an .msi pakage without this file and then posted somwere.
Here is the screenshot with properties of corrupted file: