Since I'm using Fedora, I had to install xmms-mpg123 as Fedora disables xmms the first time you try to use it. Some kind of license thingy.
So, you get a working xmms , then go to a web site which has internet radio like http://www.bluegrasscountry.org
Go down to the left where it says Listen now
Select MP3 ( high bandwidth )
A window should pop up asking you what to open it with.
I selected [X] other and browsed to the location of xmms.
On my box, that's at /usr/bin/xmms
select to always use this program and there you go.
I also used another program once called streamer or something like that. You may find it with a google for linux streaming media.