Need Help with listening to a server

[M4A1Carbine]

I have DSL with a (most of the time)satanic firewall that prevents me from doing a lot of the stuff I used to be able to do with my Dial-Up. Everytime I click on the Listen Icon it pops up a little download thing that goes away in less then 1/10 of a second, Winamp opens up..but nothing happens..

Could someone PLEASE help me with this problem?

PS: I have Winamp3