Depending on which verion of Windows Media Player you use and which skin you have this may differ slightly.

After you have opened Windows Media Player

1. Click on "File"
2. Click on "Open URL"

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

1. Enter the ShoutCast address in the "Open" field including port
2. Click "OK"

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