Well, first of all, unless you have a dedicated webserver, you can't do it. A 'shared' server wont allow you to run the server and most likely won't be able to handle the load generated by a app such as shoutcast.
You can, however, set it up on your home machine, very easily actually. Just download the shoutcast server, open the right ports on your router/firewall, start it up, and set a few config files. Keep in mind though, that on a stardard cable/DSL connection, you only have the upload speeds to allow about 10 people to listen at once.