It sure is, but what will work will depend on what format it takes. For example, if it's ASX, it will work on Windows Media Player, but if it is PLS, then you will require GSPlayer. Take a look at some Internet radio sites to get you started:
http://www.radio4pda.com/
http://www.radio-locator.com/
http://www.di.fm/
http://www.shoutcast.com/
Moved to Multimedia.