I use an airport express and then "transmit" my music (from iTunes) from my laptop via the airport express and speakers. To "transmit" a streamed radio show you probably need something like this
http://rogueamoeba.com/airfoil/features.php
I haven't tried it so I can't vouch for it.
By the way I am an AppleMac man, but the theory should be the same for Windows.