Cant i add one of these music players on my site??
 

Cant i just add Realplayer, or Winamp to my site?

every website music player i find, costs...So i thought maybe i could just use one of these

Huh? If you want to play media (music or video) just stream it in Windows Media Player / Realplayer / Quicktime format and then the user can watch it inline.

I don't really understand what you are trying to say. No you can't add Winamp to your site as it is an application that is designed to be installed on a home PC, not a webserver. Maybe I'm missing your point though...

how do i stream audio? How do i set it up to stream etc.?
That would be cool

There are tons of tutorials on Google to get you up and running. I'm pretty sure that you can stream most file formats via HTTP.

A pretty quick and easy tutorial is here, just hunt around :).

Oh forgot to add, the HTTP part is on page two.

if you mean like a radio station which your members dj. Look into shoutcast and winamp. You can host it off your pc via your ip address. Or you can install it onto a dedicated server but it'll need to be dedicated.