Interesting about KROQ. If you enter that icy:// URL into your browser it'll open Winamp and play. If you change icy:// to http:// and enter in Windows Media Player it will play.
How come that doesn't work though for other stations? I tried entering
http://64.235.213.41/WCBSAM for WCBS and
http://64.235.213.11/WFANAM for WFAN but neither of those worked with either the http:// or the icy://. How did you find that out for KROQ?