Playing a radio stream in Winamp, you need get a .asx file for that radio.
1. Open the .asx file you got for a radio stream.
2. If there is only a link similar to the following, open the link in a browser.
Then, you will get one file downloaded with mms protocol url(s) inside. Content in the file is similar to the following.
<REF HREF="mms://a823.l211056822.c2110.g.lm.akamaistream.net/D/823/2110/v0001/reflector:56822" />
<REF HREF="mms://a937.l211056936.c2110.g.lm.akamaistream.net/D/937/2110/v0001/reflector:56936" />
And, if the url is already a mms one, continue to next step.
3. Copy a mms address and paste it in the url field which will be shown to you when open file menu and select "Play Url" from Winamp.