Well, it depends on what kind of radio you're listening to. On my Ubuntu I've got XMMS installed for when I want to listen to Bonegroove from time to time. XMMS is a bit old like program, but hey it works. Otherwise if your looking for a program a bit more recent I think Beep-media-player is now in the repositories.
Anyways, if you decide to try the XMMS way, here's how to install it:
Open up a terminal and type this:
(Note : you might need to uncomment the universe and multivers repositories in /etc/apt/sources.list then run a apt-get update if it doesn't work the first time.)
Then, browse through firefox to the internet radio station you want, and click on whatever link that will "open the channel". If firefox asks you if you want to download a .pls file, select "Open with", scroll down in the list of programs and select xmms. If xmms isn't in the list then the path to xmms is /usr/bin/xmms.
there that's about it.