You should already have Winamp installed.
So now you need to download and install the Broadcast Plug in.
Download Here

Once you downloaded it, we need to install it.. First off, make sure Winamp isn’t running.
Load up the Plug in install, and follow the on screen instructions to install it.
Once you have installed it, load up Winamp, and open Preferences (Ctrl + P).
Scroll down and on the left menu click DSP/Effects.
You should then see ‘Nullsoft SHOUTcast Source DSP v1.9.0’ in the right window, that means you have correctly installed the plug in. Click ‘Nullsoft SHOUTcast Source DSP V1.9.0’ to make sure it’s highlighted, click Close, and a window should come up.
Select the Output tab.
And in the ‘Address’ bar, type in the Stations IP (where to broadcast to), then type in the Stations Port in the ‘Port’ bar.
You should also have created a password when creating the Radio Station, type that in the ‘password’ bar.
Hit ‘Connect’, and voila, you have connected to your Radio.
If it doesn’t connect, make sure your Radio Station is turned on.
Else, check you are not behind a Firewall, if you are, port forward the Winamp and Radio port.