I have the 'assume file extension of unknown files' in Winamp options set to 'avi' so any files which I know are DirectShow compatible can be opened in Winamp directly without any fiddling with extensions. However, now Shoutcast streams also try to use the DirectShow plugin and consequently fail.
This is sorta a bug as it renders the 'assume file extension of unknown files' option useless if you wish to listen to streams as it must be set to 'mp3'.
Using Winamp 5.2, Windows XP SP2.