I use a program called Sam2 Broadcaster. Unfortunately, this is a $100 program and not ideal for someone just getting started.
Go to www.shoutcast.com - they have all the tools needed to get started for free. You will need the winamp plugin and the broadcasting application. Configuration isn't exactly simple but once it's configured, it runs pretty nicely. Just remember that you must configure your stream to use a bitrate that matches your bandwidth capabilities (ie, don't use a 192kbps stream if you only have a 64kbps upload speed)
Thanks its cuz i got like 30 persons that i wont want to tell everone to go download Winamp i just need info so i can do its on Windows Media player its whould be better
alrighty then. Same basic setup, but you will have to use www.icecast.org - it's a bit tougher to configure but it'll get the job done I think... You *may* have problems finding a plugin that allows you to stream in the wmp format though