Winamp Detects 5.1 speakers and windows media player doesn't

It's very likely working normally. Do the files you are playing in WMP have 5.1 audio? If not, then you won't get audio to all 5 speakers.

Also, if you are playing DVD movies in WMP, for example, with 5.1 audio, you have to manually change the audio setup in WMP. It's not automatic.

yes songs are 5.1, how do change the audio setup then to work with 5.1 sound?

If you have the speakers properly configured AND you are playing a file with 5.1 audio, then you should get audio in all speakers. If it's a stereo source (ie: normal windows sounds and 99.9% of all music files), then you will only get sound in the front left/right and sub.