I'm not sure if it's possible.. but if it is.. is their anyway that mIRC sockets can listen to a shoutcast server and instead of having to have winamp to open in order ot listen, miRC can use its splay command to listen to the shoutcast server?

Mmm... no.

You can socket to a server and save the file as a mp3 and listen to it after. You can't splay direct though. Would be a nice feature.