I just figured out KROQ and CBSPlayer's technology.
They use IceCast hidden in a flash embeded program. Basically it seems Streamtheworld uses opensource software to provide a service. Nice way to make money!
Anyway, I'm playing KROQ on Quicktime on my Mac by using:
icy://64.235.213.12/KROQFM
icy is the protocol for Icecast. If Winamp has a plugin, it should work too.
You should be able to run this on Windows Media player. I tried that and it worked for me.