You need to get a little app called XNSPlsEdit. Then you go to Shoutcast's website, and find the link to a station you want. RIGHT-click the link, save the target to your hard drive, and use XNSPlsEdit to generate ".sc" files (you'll get one for each server available for the station). Then you simply copy the ".sc" files to your music folder, and open them with XBMP!
The doc that comes with XNSPlsEdit provides a few more details.