Extracting the .dll to Winamp's Plugin folder should really be all there is to it.
In Winamp, if you go to Options > Preferences > General Purpose (listed under plug-ins) .. does it say Ray's G15 Plugin v0.1 (gen_g15_ray.dll) [gen_g15_ray.dll]? If not, your download may just be corrupt.
For when you do get it working, when you have it displayed on your lcd screen, if you press the far right option button on your keyboard (above the fast forward button), it'll bring up a menu.. then press and hold the left and right ctrl keys while you use the keyboards volume control to scroll down the list. At the bottom will be a couple previously hidden options. One of them will make all your keys flash with the music. Just press the play button to change them from off to on.
I'm pretty sure it'll wear your keyboard's LEDs out faster so I don't use it often but it sure looks cool.