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Extra ToolsIcecast is an open-source media server platform. Get the Icecast server from Icecast.org, the official site from Xiph. Download and install the Win32 version of the Icecast server. You do not have to install it as a Windows service, but you can choose to. Start the server executable (Icecast2win.exe or Icecast2 Win32 in your Start menu), and you'll be presented with the main server interface.
As you can see, the server is currently stopped. Open the Configuration menu and click Edit configuration. This will launch Notepad to edit the Icecast server configuration file, icecast.xml. You can keep most of the settings the same (perhaps increase the maximum number of allowed source streams from 2 to 8 if you plan on running multiple streams), but you really should change the passwords. Note that if you're running on a limited account, Notepad may not have sufficient privileges to save the configuration file directly to the Program Files directory, so you'll have to move the new file manually (save it somewhere else and copy it back to the appropriate folder with Explorer). Hit the Start server button, and the Hide to Systray to move the window out of the way. If you get a server startup error, this probably means the port you've chosen to run the server from is already in use, so you should change that in the server configuration file.
Note that Icecast will have to be able to accept incoming connections, so you should configure your firewall as such. If you're planning to stream to listeners via the Internet, you may also have to forward the port you've chosen from your router to your server.
Icecast can obviously do a whole lot more, like stream relaying, listener authentication and serving HTML from the built-in webserver. Xiph has put the whole documentation for the Icecast server online at Icecast.org.