It doesn't change your PM. You can use the command or the old (!WAT) (in case of Winamp) shortcut to let the other person know what you are listening to.
If you want to change your PM to the song you are currently playing in Winamp, I suggest you try the
Winamp Media script or the
MessengerAmp plugin for Winamp
BTW... Files with ID3v1 and v2 turned off, so files without ID3 information, also have an extra ' - ' in front of the title.