The truth is, people at work ( especially the IT department) do not want you using streaming audio or video at work because it hogs the BW (band width) on the server and slows down the other processes.
The only way that you could have vulnerabilities when listening to streaming audio is if you were using an older version of windows media player that had known security issues and a website took advantage of that vulnerability to try to execute code on your system. This is possible if you don't keep your computer up to date; however, it is much much more likely that you would get spyware or a virus from something like Internet Explorer than it would be for you to get it from Windows Media Player or Winamp, simply because it's much easier to take advantage of.