well in windows if you want to stream it to a remote server like a linux box on your LAN you can use Winamp ... just like shoutcast.. icecast has built-in icecast support.. in fact you can listen to my streaming server right now .. this post inspired me to turn it back on after being off for ages

point your MP3 player to techiekb.com:6060
icecast/ices easier on bandwidth
winamp/shoutcast outbound bandwidth to listeners and internal LAN bandwidth
