Streaming from Winamp to the Roku is fairly easy.
Go here: http://shoutcast.com/download/
Click on "Be a DJ" and download the Shoutcast Plug-in
Then go back and click on "Be a Server" and download the Shoutcast Server.
Follow the instructions for setting up both the Plug-in and the Server. They're pretty cleanly written.
Then in your Roku, assuming your PC's LAN IP address is 192.168.0.50 and you're using the default Shoutcast port (8000), program a preset for http://192.168.0.50:8000
. You'll get just what your local Winamp is playing (not everything the soundcard is playing), with (if I remember right) the metadata also being sent to your Roku so you can see what's playing.
There are other ways to accomplish this, but Shoutcast has the best Winamp integration since they were written to work together.
I'm doing exactly this, except I'm not using Winamp and the Shoutcast plug-in, only the Shoutcast server. Instead I'm using J. River Media Center and Oddcast to bridge from Media Center to the Shoutcast server. So I get unfortunately all the sounds from the soundcard, and had to do something special to get the metadata.