You can do it in Winamp
by making a playlist and playing through it in usual fashion, but selecting some sort of encoder as your output plugin instead of the standard Nullsoft Waveoutput thingy.

This may be more similar to your Windows Mediocre Player approach and easier for you to understand than Audacity.

But automatically crossfaded tracks sound horrendous anyway, mix it properly or put up with the silence!
(username1, Wed 6 May 2009, 9:53, Reply)