Why can't I connect with streaming mp3's?????

[poznod]

I have been having all kinds of trouble connecting to any shoutcast broadcasts. I click on "tune in" and one of two things happens....1. My download bar thing flashes for just a split second, and then nothing - no title in winamp or anything .....or 2. My "open file(s) in" menu pops up like it's asking me where i want to open the file from. Does any one have any suggestions? I have tried version 2.666 - 2.7 - and 2.71 all with the same outcome. I am on a cable connection if that makes any difference but I have connect via LAN checked in my setup --- uuuuhhhhhrrrrrggggghhhhhhhhh!!!!