You may have your filetypes mismatched or not mapped at all.
Open up Winamp
Press CTRL+P to open up preferences.
Select Setup->File Types in the left pane.
In the "Associated extensions" box, make sure that pls is highlighted
Okie dokie, all is set up. How do I listen?
Just click the link to the radio station. The link should appear as something like "http://some.host.com:port/listen.pls". Winamp should automatically play it.
So what's playing?
The song currently playing should be listed on the homepage.