it should work when installed into a different location and from what you've detailed, it seems like something is messed up with the file association options or something external is not honouring what has actually been specified (i run Winamp installs in different locations without issues). other than re-running the Winamp installer and possibly going to preferences -> file types and holding ctrl down when leaving the page (will force Winamp to re-save the settings from that instance).
otherwise you can use the add url option to just add the stream to the main playlist editor.
-daz
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