This answer is a bit tricky if you are new to listening to internet radio.  So here are some guidelines by Operating System:

Linux (Fedora, Debian, Ubuntu, etc)

• All Linux systems should come with support for the Ogg Stream by default.  There are many popular open source programs to use and most environments include a dedicated media player.
• Rhythmbox is the default player for the Gnome environment.
• Amarok is the default player for the KDE environment.
• X Multimedia System (XMMS) and Video Lan Client (VLC) are other standalone media players that will support streaming media.

Mac OS X

• iTunes will work for the MP3 Stream.  iTunes is standard on all OS X installs, so this is the easiest software to use on on the Mac platform.
• Video Lan Client (VLC) is provided for the Mac platform and will work well for streaming all media types.

Windows Vista/XP/2000

• Windows Media Player will work for the MP3 Stream. It's not the best software and is not well suited for non-windows media.  The upside is that it comes with all version of Windows, so there's no additional software to install. 
• Winamp is much better suited for internet radio on the Windows platform.  It includes support for both the Ogg Stream and the MP3 Stream by default.  As well, Winamp includes listings for many other radio stations using it's shoutcast listings.
• Video Lan Client (VLC) is also provided for the Windows platform and will work well for streaming all media types.