If you're behind a firewall, you will probably have to use an HTTP proxy to listen to Ogg streams. Here is how to do that in a popular Unix audio tool, XMMS. Configuring other players (eg, WinAmp) will probably follow a similar process.

First, bring up the Preferences menu by pressing Ctrl+P or selecting Options->Preferences from the right click context menu.

XMMS preferences menu

In the Input plugins pickbox of the Audio I/O Plugins tab, select Ogg Vorbis Player x.y.z and make sure it is enabled. Then click on Configure.

Ogg Vorbis configuration dialogue

In the Proxy section of the Streaming tab, check Use proxy and fill in the host and port details. These should be the same as you use for your web browser.

Click Ok on both dialogue boxes, and that should be it - as long as your browser knows what to do with .m3u files, you should just be able to click on one of our Ogg links and have it play.