I "cheated" a little bit and used a browser plug-in to find the address. From the "Listen Live" link there was also a link for the WMP embedded player. I am currently using Firefox 3 with the MediaPlayerConnectivity
extension/plug-in. Which can extract embedded player links and play them in your favorite media player, such as Winamp (indeed). For those that are still holding on to FF2 Unplug
is a good extension along the same idea.
Even without a plug-in like the above, a lot of the time you can look at the code in the playlist link or embedded player link by right clicking on the link and selecting "Save link/target as", the load the resulting file in a text editor. With a little practice, it is not too hard to recognize streaming link from the info in the file. That is how I used to do it before finding the mentioned FF extensions.