Regarding the first part of your query, did you check the Wiki and give that a go?
http://wiki.jriver.com/index.php/Web_Media_%28Radio%29Same source gives info on DLNA:
http://wiki.jriver.com/index.php/DLNAAnd a forum post titled
Audio: Radio stream from server to Gizmo
http://yabb.jriver.com/interact/index.php?topic=73566.0might be relevant.
I'm not going to troubleshoot this one to the nth degree for you. Doing is arguably the best method of learning. Come back with a report of how you fared after you've had a bash at self help and I'm sure you'll get plenty of support.
I've set up streaming radio for some Oz stations. In my case the national broadcaster (who are an absolute blessing) put this together:
http://www.abc.net.au/radio/listenlive.htmI followed their info and (very probably) the stuff on the Wiki and I didn't look back. The fact that it was easy and I've mostly forgotten the details prompts me to think that it shouldn't be too hard.
Good luck ... and remember 'Search' is your friend..