If you don't already have it installed, just download winamp for free and install it, then click on the WVRQ Audio Stream link.
If the streaming link still doesn't open automatically in winamp, then:
1. start winamp
2. File... Play URL...
3. Copy this address and paste it in the URL box:
http://207.190.67.111:8000/wvrq.ogg.m3u
3a. UPDATE: 8-19-2011 -- We've discovered an issue with some version of Windows 7 and/or newer versions of Winamp. You may need to copy this address and paste it in the URL box instead (noticed the .m3u missing at the end of the address)
http://207.190.67.111:8000/wvrq.ogg
4. Open. Your WVRQ local sports audio stream should start now.