Depending on which verion of Winamp you use and which skin you have this may differ slightly.

When you first open Winamp:

1. Right Click on the top bar of Winamp
2. Go into the "Play" Submenu
3. Left Click on "URL"

After you have clicked on "URL" another window called "Open URL" should appear.

1. Enter the ShoutCast address in the text box including port
2. Click "Open"

After you have clicked on "Open" the "Open URL" window should close and you will be left with just the Winamp window. If the ShoutCast stream is up, it should "Buffer", once it gets to 100% it will start playing the stream.