use VLC player
1.click on "open network stream"
2.copy & paste the url from winamp
3.select "stream output"
4.in "stream output settings" select the file name & location & choose the video codec u want (prefarably mpeg1 as the bitrates are on the lower side anyways..)
5.click play.
PS:u won't be able to see the video while saving the streams.
get vlc player from the digit CD/DVD or
http://www.videolan.org/mirror.html?....8.1-win32.exe
Edit:u can see the video while it is being captured,just fiddle around in the advanced options for an option like 'show output while capturing'