If you using Firefox and want to have the audio streamed inside your browser you will need the WIndows Media Player plugin for firefox
http://port25.technet.com/pages/windows-media-player-firefox-plugin-download.aspxYou will also see some "Listen with Unreal" , " Listen with WMP" audio links above the radio control object. For the unreal link to work you will need the "Unreal Streaming Media Player" This is recommended as the "audio delay" is usually about one second or less.
http://www.umediaserver.net/umediaserver/download.htmlIf you still having problems please let us know which OS and browser your using, thanks.