It's not a codec you need, it's a browser plugin for an appropriate video player. You probably already have something like mplayer, xine, or vlc installed on your system. These players all have mpeg support built-in. You just need to install the matching plugin so that your browser can use it to play the stream.
Alternately, you can simply open up the url directly in the player itself. Most all of them can handle streaming media, as long as they are direct video feeds like this and not embedded flash players a-la youtube.
Incidentally, I tried your link and for some reason it fails to open for me. I don't know if it's just down right now or if they're blocking connections from my country or what. But I went up a page and found several streaming audio-only links, and they all appear to work.