These are instructions for people using a remote server. For setting up your own server please go here and cease bothering me.
First, you will need winamp, any version as long as not version 3. You can download it here.
Next you will require the plug-in to make Shoutcast work with it. Direct download here.
Now for the not very tricky bit. Open up winamp like so 
Making sure that winamp is the selected application, press CONTROL P and a box will open up. Have a look through until you see Plug-ins and select DSP/Effect 
Choose the one you see selected here and configure, just tell it YES a lot and OK, then close that window.
With any luck a new box will pop up named Shoutcast Source and this is where we start the fun.
It is pretty self-explanatory. The parts marked with red are the bits you must add when you have been given the settings by the administrator of this server.
On that same window you will see a button for 'yellowpages'. Click on that and get ready to fill in the next parts. Note that the bit in the red circle must be ticked.
The next part we will deal with is the Encoder tab. Choose the bitrate your server has allowed. 
Lastly click the Input tab and again add the settings exactly as shown in the picture. 
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You're done! Now to test it out by going back to the output tab and pressing connect.