I have started listening to Radio stations off Websites lately and have found it is possible to listen and also work at the same time except when doing a download Unless you are running Broadband.
Most use RealPlayer or A Mediaplayer of some description.Many sites use an "own branded" version of the same player.
All you do is set the link running, and "Minimise" the window onto the toolbar And it will run until you close that window or change channel
Here are some to get you started...
http://www.icebergradio.com/index.asp
from Canada about 125 channels (have to register/Free to see all of site)some free stuff without signing (half hour segments)
Also theBBC Radio Player which has lots of full length programmes on the Main radio stations (14)(and if you go up to the main menu you can get many local BBC UK regional programmes as well
I have also put some links on Discussionpool for Worldwide TV clip viewing

i love the iceburg radio!
ive been listening to it since last year, and absolutly love the stations they have.
plus, there are NO annoying djs.

There is this thing called Launchcast on Yahoo.
It lets you pick which genres you want to listen to. It also lets you pick some specific artists. It plays an advertisement maybe a few times an hour that is about thirty seconds long. Also you can rate the songs as they play them so the ones you like get played more often, and the ones you dislike won't get played at all anymore.