You're on top of it Meya! Some stations make it difficult to listen to them outside of their site. You have to have a feed link. They normally end in .asx or something weird like that and if you click on the link, it will prompt you to open it with Windows Media Player, iTunes, Rhapsody, etc.

I'm going to add a link to a site wher you can add stations. It can give you some stations with the streaming link (right click on the link and copy it).
http://www.usliveradio.com/