It SHOULD support ogg files right out of the box (with a full installation), however, it's not the first time I heard it that Winamp 2.9 doesn't have a ogg plugin.
Attached you'll find the plugin that came with my Winamp installation. Just place it in the plugins directory of Winamp and start Winamp. It should appear in the Input plugins as Nullsoft Vorbid Decoder.
edit: although the file is called Plugins.zip, it only contains the ogg plugin. I hope this isn't confusing.