If you use the ISA server as a SecureNAT client (gateway to ISA) you should be able to get winamp working. I think that the problem is authentication:
Internet Explorer uses integrated authentication which most apps. (including Winamp) don't support. If you make a rule without authentication it should work. You'll have to make a rule to allow any request access.
The ISA logs should give some interesting information what is happening. If I'm not mistaken, the HTTP redirector should redirect http traffic to the web-proxy service. But I'm not sure if it works without the firewall client.
site has 20 postings about Winamp usage, one of them suggest using the domain\username format.
I can really recommend posting your question at this messageboard. And letting the other Winamp users know the solution
At my office everything is running fine using the firewall client, however, a LOT of shoutcast stations use non standard ports...