c:\xlobby\multizone\livingroom\winamp.exe
c:\xlobby\multizone\bedroom\winamp.exe
c:\xlobby\multizone\AllRooms\winamp.exe
Xlobby will name the zones to whatever the upper directory structure is. In the case above, one zone would be called bedroom, and another zone would be called AllRooms. You could name the zones directories as people if you wanted, or name them whatever you wanted. It doesn't have to reside in a "Multizone" directory...it just makes things easier if all the zones are together and nicely named. At one point I had all my zones reside within the Winamp directory and everything work good.
Necro,
I take it you've done this, but make sure that after everything is set up, you restart Xlobby. The other thing you may have to do is in the Setup/Xnet window, make sure there are no errors in the status window. Then click on the Synch button at the bottom of the setup window. Under "Who's on the network" you should see all your zones named there. After clicking on the Synch button and highlighting the zones, click on the "Add zone" button.
Let us know what happens.
*EDIT*
To elaborate on what I said earlier, you don't even require to have the winamps in the same directory, let alone the same drive. I experimented by placing a zone directly on my C: drive, one on my D: drive and two within Program File\Winamp\ directory, and they were all recongnized fine and ran no problems.