Well, I often listen to virgin
because the FM signal isn't available outside London.
So, I go to the virgin site (link above), I click on the listen now link which swings me to the streaming/download page, they do various streams like windows media, realplayer and ogg and it depends which stream you select, on which media player you use.
You might change your profile so people know what distro you use (different distro's - different default media players etc etc) - anyway, my mandrake install, has xmms as a music media type player, and if I check the menu entry for video I have real player as well,and actually playing the streams is pretty similar.
So, XMMS, open that, then click the "PL" radio button and the playlist window should open, then hit the "load list" button, which opens another dialogue window, now presuming that you selected an ogg stream (I have a broadband service so I would use the 96vr.ogg stream) click on the file that you would have downloaded when you selected the stream (the file from virgin is called live.pls) from whatever site you want to listen to and click OK,
You should then have the option for the stream in the playlist window, which I would then double clik on and xmms buffers the stream and starts playing.
I don't know much about this streaming stuff, as I only managed to get xmms working by chance. Before that, I used realplayer because I was more familiar with it, the mehtod is pretty similar, i.e. download the file from the site you want to listen to but then using the dropdown I think it's "open file" that you need to select from, then it should buffer the stream and start it playing (though there's a registration thing to fill out with realplayer the first time you use it just uncheck the send me loads of shit option).
Hope this points you in the right direction