I am having an almost identical problem. The first time I click on a link on the shoutcast.com website, it starts up winamp and plays fine. If I want to listen to another shoutcast server though, I can't do it by just clicking on another link. What happens is winamps playlist switches to contain only an entry of shoutcast-playlist
If I look at the file info for that playlist, it shows me this for the location:
C:\Documents and Settings\Administrator\Local Settings\Temporary Internet Files\Content.IE5\EBX3JUDH\shoutcast-playlist.pls
My guess is that somehow that  that is being appended to the filename is causing it not to play. If want to listen to another shoutcast server after the first one, I have to use 'save target as' on the link and save the .pls file to a directory, then open it from there.
This is very annoying, I haven't used shoutcast for many months, but I was trying to do so at a party the other day I hosted and it was very embarrassing when I was showing off different things I could do with my computer, including switching between hundreds of online radio stations with "one click", only to find out that I couldn't.
Does anyone know of an actual way to fix this problem? Having to save a separate file for each server is just not acceptable, especially since I have to name them all manually, since the default name for everyone is shoutcast-playlist.pls
Thanks in advance for any help.