So you wana use Winamp to be your streaming client eh? Ok first things first you will need the following;

1.) The winamp client of cource from  http://www.winamp.com/
2.) After installing that you will need to obtain a plugin for winamp for your source of streaming, many client can be found on icecast's website here at http://www.icecast.org/3rdparty.php, but here is a few quick sugestions;
    Windows.)
           A.) Oddsock has a free client called edcast that is located here at http://www.oddsock.org/tools/edcast/
           B.) Spacial audio also has a client thats a try and buy that is located here at http://www.spacialaudio.com/?page=winamp-plugins         
     Mac OS X.)
          A.) Nicecast is a free client that is located here http://www.rogueamoeba.com/nicecast/

 Ok lets get started! I am going to be using a Windows based PC using edcast just for an example, most other operating systems are going to have the same window setup for the configuration.. so bare with me.

Step 1: Of cource, open up your winamp client (duh..)
 

Step 2: Select the plugin

 Step 3: Add an encoder

Step 4: Select configure encoder

Step 5: Insert your information

 Step 6: Finily connect and start playing music

Have Fun! :)