Shoutcast Listening Problem
 

I bought a Dell desktop & downloaded Winamp shoutcast.

When I go to connect to one of their online radio shows I get this message:

"File Download
Do you want to open or save this file?"

I then get the option to "open", "save" or "cancel".

When I click "open" I get a small window pop up stating this:
"This file does not have a program associated with it for performing this action. Create an association in the Set Associations control panel."

Where can I find this "Set Associations control panel" and what steps do I take to get to listen to the radio shows located at this site: http://classic.shoutcast.com/directo...umresult=25&s=