Ah, well the link I provided won't work with the standard media player until you move to OS2008. It might work with MPlayer in OS2007, but I've never installed or used MPlayer on my N800, so I don't know.

Nokia should be releasing the non-beta version of OS2008 very soon. Once that's available, consider upgrading. The link I provided will then open and stream in the standard media player. (Assuming, of course, the radio station doesn't change the URL by then.) Just make sure any other applications you use in OS2007 are working well in OS2008 before you make your move.