Hi Michelinda,
What your WinAmp is doing is trying to retrieve title and track information about the CD you have in your drive from an Internet database that has the ability to recognize the CD in the drive and then it pulls up the title, artist,track titles, and other data. This is quite normal. CDDB stands for Compact Disc Data Base.
What is causing the error is WinAmp's inablility to connect to the internet server that has the CDDB. Obviously, if you are not connected to the Internet at the time that WinAmp tries to get the data, then you will get a connection error. But if you are connected to the internet, WinAmp should be able to connect to the CDDB without any problems. The only exception to this would be if you are on a corporate network. The error "Error connecting to cddb.cddb.com:8880" indicates that WinAmp is attempting to establish a connection to the site cddb.cddb.com on port 8880. If your network administrator has configured the corporate firewall or router to deny access to port 8880, then you will recieve the error message listed. Contact the network administrator with the problem and see if he will open up the port for you.
Also, check the settings for winamp by right clicking the taskbar icon and selecting: Options, then Preferences, then Settings. Look at the Internet settings. Make sure that the settings are properly configured for the internet connection on your computer. If the error message really bothers you, and you cannot resolve the connection issues, you can click "No Internet Connection available" and Winamp will not try to search the CDDB. You will still be able to play music, but you will not be able to automatically retrieve CD information from the internet.
Cheers,
-dan