As far as Winamp is concerned, you just need to type
inein:// in Winamp's Open URL box click the Open button
Depending of the audio source, you will need to set the Windows mixer...
1. double click on the little speaker icon in the systray (tasktray).
2. Options > Properties
3. select/bullet Recording
4. For audio sources external to the computer, make sure 'Microphone' and/or 'Line In' is checkmarked
for a audio source such as a another media player or browser radio, it will vary with the audio card. Select something like "Stereo Mix", "Wave Out", "What you here", etc.
5. then respectively select the correct slider in the
Recording mixer control (<-- Microphone as example).
The above Windows mixer instructions is based on Win XP/2000 and will vary with Vista and Win 7. Apparently with Vista and maybe Win 7, the "Stereo Mix" & "What you here" (etc.) are hidden or disabled by default. No having Vista or Win 7, I can only point you to YouTube video...
How to enable Stereo Mix in Vista and set devices