My guess is in the Write Disc tab, you have the Audio CD button selected to write only the audio to a CDDA format disc.
You need to be sure the
Karaoke CD button is selected to write a CDG format disc with the lyrics/graphics.
Unless you have special plugins you have bought for Winamp, to my knowledge it will NOT play the lyrics from a CDG disc. It is best to either go to the Microstudio Play screen and select the Karaoke CDG button, select some tracks and play them. Or... put the disc in a Karaoke Player and play it.
Microstudio does not write a Video CD disc, but a CD+Graphics disc, which are totally different formats. That may also be confusing you to think you can play the Microstudio made CD in Winamp.
However, again, I think you are writing a CDDA audio only disc format at this time. Let us know if this is the problem or not.