Check out Live365. It functions as a redirector, which will lessen the bandwidth needed to support many users. It has good docs for what you need to set up. (Edit: turns out that Live365 is charging these days. Oh, well.)

If you want to do it all on your own, I'd suggest investigating ShoutCast. Do a search on Google. There are many different implementations, and since I don't know what OS you're using, I hesitate to start suggesting.