running Winamp from removeable media?

[hawk606]

Is it at all possible to run Winamp from like a floppy disk, usb thumbdrive, cd rom, or something like that?
It would be rad if I could do some kind of special install onto a CD-R/RW so I could listen to shoutcast streams from places where I can't install winamp onto the system.

you feel me?

Sorry if this has been asked before, or if this isn't the right place to ask it.