What exact method are you using to add the .pls link to Winamp's playlist?
Does
http://streaming.radiojat.rs:12121/listen.pls or just
http://streaming.radiojat.rs:12121 work/play ok if you just drag and drop it from here straight into the playlist, then double-click the playlist entry?
Does the link work if you add it via the Open/Add URL dialog in Winamp?
If yes, then assuming it's not working by e.g. clicking Listen/TuneIn .pls links, what internet browser are you using?
What's your Windows OS?
Have you tried emptying the internet cache (Windows Control Panel > Internet Options > Delete > Temporary Internet Files)
If no, then my reply is the same as DrO's :-)