Thanks Don't Panic.
The problem is actually with
http://www.bbc.co.uk/radio/aod/ when playing the previously recorded shows. When viewing on a desktop, there is the option to open the feed in realplayer, however, this option isn't available in PIE.
It is still possible to save the .ram file (basically just a link to the stream) on the desktop then copy and open it on the axim.
Some of the shows don't have this option, so there is no way to listen to them on the axim that I have found.