I had that problem too. Boy winamp started slowly when it had to read 1260+ tracks! I also keep them in directories by band and then make winamp playlists for each band, then I have a 'master' playlist. I got sick of loading winamp each time I wanted one album or band etc. so I made an html file with links to each band's winamp playlists.
Like this:

A HREF="file:///C:/Music/deftones/deftones.m3u">Deftones /A

A HREF="file:///D:/Music/Danzig/danzig.m3u">Danzig /A

A HREF="file:///C:/Music/Misc/ECW Mixes/ecw.m3u">ECW Mixes /A

A HREF="file:///C:/Music/Fear Factory/fearfactory.m3u">Fear Factory /A

A HREF="file:///D:/Music/Foo Fighters/foo.m3u">Foo Fighters /A

A HREF="file:///D:/Music/Godsmack/godsmack.m3u">Godsmack /A

A HREF="file:///D:/Music/GnR/gnr.m3u">Guns n' Roses /A

(I removed the < and > so the actual code would show up)
I think it is pretty slick.

Jake
email me at [email protected] and I'll email you the whole file to ya.