I've done exactly what you've suggested by using microsoft media encoder 9 and winamp. There's also a program for the Ipaq the will remotely control winamp. IRemote 2.85
Media encoder is pretty cool and easy to use. It monitors your audio & video codecs and will stream anything that you're playing locally on your server machine. Complete the media encoder setup routine. Lauch media player on the ipaq, type in the local ip address of your server machine + the output port that media encoder establishes, and Head bang till the cows come home !!!

Good Luck !!!!!
Markc.