Using Icecast server and Simplecast is pretty easy to setup, and it supports windows media player and winamp, with winamp it supports automatic text-tagging directly to the winamp display so that you know who you're listening to.
Download these detailed instructions on setting up your own feed.
http://www.scancapecod.us/livescan/feed_tutorial.pdf
Another way you can do it is to download shoutcast and the winamp plugin for shoutcast server, and you'll need an audio cable to connect from your ext. speaker on the scanner into the line-in port of your soundcard.