First, make sure you have Winamp 2.xx.
Second, download a SPC player plugin for Winamp
here, if you don't already have one.
Then, get a WAV or MP3 encoder plugin from some Winamp plugin place. Plug those in, and you're pretty much set.
If you want fades without a lot of trouble, I suggest simply using Sound Recorder, record off the sound card (by selecting Stereo Mix in the Volume Control
recording volume dialog), play the SPC, and when you want it to stop, just fade with Winamp, and you have a complete file.