Where is the best place(cheap and good selection of spirits mainly) to buy it around De Wallen? I remember there was shop beside Casa Rosso but last time I was there in 2008 it was closed I think.

There is a liquor store next to Albert Heijn at Nieuwezijds Voorburgwal 226, behind the Royal Palace...don't know how inexpensive the prices are but very large selection of spirits

That liquor store that AmsterdamChris speaks off is Gall & Gall. They can usually be found anywhere there is a full service Albert Heijn like behind the Royal Palace. There is also one not far from the Nieuwmarkt at Jodenbreestraat 23. It also tends to be less crowded with tourist holding up the lines. Below is a link to the website, click on the colored drinking glasses across the top to see the prices.
http://webwinkel.gall.nl/

Peace

De Bierkoenig is also behind the palace, and has a huge selection of beer, with special emphasis on belgian ales. Alcohol is not cheap in Amsterdam. I usually buy some at the duty-free on my way over for friends.
Also, for a more local flavor, Wynand and Focking, a 400 year old tasting house for Geniveer, flavored Dutch gin. Entrance through an alley off OZV, surrounded by the Hotel Krasnapolsky.
I'm also a big fan of the Het ij brewery, in the windmill a mile east of centraal station.
Mmmmmm! Good!

Weasel