A little hint or tip (for the FAQ?) - to make a handy list of radio "bookmarks" create a folder somewhere convenient, calling it "radio" or something equally original, then, navigating to the site of your choice, ShoutCast, IceCast or whatever, right-click one of the "Tune In" buttons, and choose "save link as". Save file to your new folder, and rename it if necessary to the name of the station, e.g. "Drone Zone", "StillStream" etc. Fill up your folder with your favourite stations.
You can then right-click your taskbar, select "toolbars", then "new toolbar..." and choose your new folder location from the navigation box that will pop up. Click OK, and you'll have a handy little pop-up list just by the side of the system tray, all ready to instantly select a station, which will start XMPlay and automatically play the stream. No need for Winamp's bookmarks ;-)
Just discovered an easier way...
Play the stream from the site link (ShoutCast, IceCast, station's own site etc.) by (left) clicking the link as usual. Then open XMPlay playlist, and save playlist (which will be a single .pls entry) in your radio folder, under the station's name. Easier and more reliable than right-clicking the link on the page, I find.