For starters, you have to verify if your files are either lossless (FLAC/ALAC/TTA or whatever popular lossless here is) or a high quality 320CBR MP3
Then you could start by downloading foobar2000 from foobar2000.org or winamp, they're totally the same, except foobar2000 is more modular and bloatware free.
And if you would like to ask more questions, please find the Foobar2000 appreciation thread. (We don't have a winamp thread yet)