I've found that Winamp does do a good job, but it does leave a small gap between tracks. For completely seemless streaming you would need a piece of software called SAM Broadcaster. However, that's not cheap. If i remember right, it costs somewhere in the region of $300 (thats US, not L$).
Although it's it's pre-mixed & saved off as 1 file. Winamp should be able to cope nicely