I recently tried to play a Shoutcast Radio station in Winamp, and I was unable to because of an error:

Cannot Write Stream To Disk

Luckily I was able to find a fix for it.

1. From the main Winamp window click Options > Preferences.

2. In the Plug-ins section, select Output.

3. Click Nullsoft Direct SoundOutput or Nullsoft WaveOut Output.

4. Click Close.

I was then able to play radio stations without error.