That depends on the type of file you wish to stream. MP3 files can be created by a variety of different packages including Windows Media Player and so on, though if you wish to create either Real or Quicktime files, you will need third party software to do so. With the files in place, most of the time streaming is handled 'client-side' ie by the browser and the relevant plug-ins.

RealMedia files can be produced via the RealProducer software available for download from here whereas to create Quicktime files will require Quicktime Pro.