I play all my shoutcast stations with XMMS... and I'm running OpenBSD.. so i have an older release of XMMS... when you click on a shoutcast playlist.. you should get the "save to disk" and "open with" box... if not... than instead of clicking... right-click and save target as.. which should be a .pls file..
Then open XMMS, and select play file.. then click the .pls file you saved... that way... you always have that station right there on the computer...
If, for some reason.. it doesn't open the playlist file.. open up the .pls file with any text editor.. and there is an address in there... like
http://214.54.232.34:8000 or something... copy that and go to XMMS.. select "Play location" and then paste that address in there...
It's sort of a pain.. and i think there's a plugin for XMMS to make to work better...but I'm conent... because I only play 2 stations... and i have both playlist files in my home directory... so i can easily switch between the two...
I hate rythmbox... and you should be able to change what program defaults to .pls files...