<a href="http://www.gnu.org/software/gnump3d/">GNUMP3d</a> is your friend. It's an all-in-one package, so you don't need to have a webserver or anything already running to use it. It also has support for skins, keeps nifty statistics about your music collection, allows you to do searches, setup playlists, then stream your music via shoutcast/icecast. You can even configure it to re-encode (using LAME, for example) the outgoing stream so you dont eat up too much bandwidth.
Overall, a fscking great program.
Oh yeah, it works on Windows too, but you have to install Perl for Windows and jump through a couple <a href="http://www.gnu.org/software/gnump3d/README.Windows">hoops</a>.