From LQWiki

How to listen to web radio greatly varies between senders. Here is an example that works for the german SWR3 with SUSE Linux 11.1. You need to know the URL for your webradio, mostly you can get it from the website of your station like here. In our example the stream is on http://www.swr3.de/wraps/swr3_mp3s.m3u.php.

You can use RealPlayer or MPlayer to play it:

Realplayer

• Install Realplayer from http://www.real.com/linux
• Start your web radio

realplay http://www.swr3.de/wraps/swr3_mp3s.m3u.php

MPlayer

• install mplayer as described on the mplayer page
• Start your web radio

mplayer http://www.swr3.de/wraps/swr3_mp3s.m3u.php