Airport Express does indeed work on Windows as well as the Mac. However, as far as I'm aware it will only play from iTunes, so you're limited to the Radio feeds you can get through iTunes. The software Capt. Chambo suggests is Mac-only.
Acoustic Energy do a new wi-fi radio which will play over 2500 radio stations via your wireless connection. Cut out the computer middleman altogether. I'm hoping to find one in my Christmas stocking this year!
AppleMacster