I'm sure there are WinAmp plugins that can do this sort of thing, I don't know where they are though. I know you can also do this in many audio-editing packages such as CoolEdit.
If you want to go ultra-cheap, you can use the Windows Sound recorder applet to decrease the speed of a wave file by half. This will make it play more slowly, albeit at a one-octave drop in pitch. This is actually fine for learning how to play a musical phrase, I've done it quite often. You just have to keep in mind that your half-speed instructional version is also one octave lower.
This is essentially the digital equivalent as the "half speed tape recorders" you see for sale in music stores. These things have been around for many decades, just for the purpose of musical instruction, so you'll be part of a grand tradition.
How to: First, get the original WAV file instead of the MP3. For instance, by re-ripping just the WAV from the original CD. Or, if you only have it in MP3 form, use the WinAmp disk-writer plugin to make the MP3 into a WAV. Then open the WAV into Sound Recorder. Then say "Effects/Decrease Speed". Then save it. Bingo, half-speed audio clip.