Many radio stations started using RTMP streams for their broadcasts. You can find RTMP URLs with programs like freeware CooJah.

The problem is that such URLs expire and you need to find them every time you want to listen to the stream with an alternative player or record it with an RTMP Flash stream recorder (although many stream recorders can find stream URLs and record them automatically).

You can try to play RTMP radio streams with freeware Applian FLV Player.