gaiastar you CAN import Winamp-style DSP plugins (dsp_*.dll) with the DSP Plugins list/Equalizer and DSP Setting panel by hitting the "Import Winamp.." button on the right. That said, you are best off going the VST route as boroda mentioned for vastly increased availability/flexibility.
BTW, watch out for that free version of "DFX Audio Enhancer", out of curiousity I unwrapped the dfx12Setup.exe installer and it has at least half a dozen other 3rd-party applications bundled in it, "offers" and what looks like the whole application in some cases. Asking for trouble trying to install that bomb.