OK, how do you do this???!!!!
Have you created a dummy album in some way?
There is more than one way to go about this, here is a method I found that suits me best. Creating a New Playlist may appear to be an unnecessary step, however it does serve as a safeguard should there be an unplanned event that takes place before you complete the task. (Once the task is completed you will delete "New Playlist")
Assuming that you are using Media Center and are playing the stream:
While the stream is playing look in the left tree and select Playing Now. The stream that you are listening to will now be displayed in bold type within the Playing Now window.
Now, without undoing the Playing Now mode (!)
1. Right click on the playing now item and select Send To > Playlist > "New Playlist" or "Create Playlist" (either one will suffice)
2. Return to the left tree and select Playlists > New Playlist
3. Look again in the Playing Now window, right click on the item you see there and select "Tag" then > Album > in the field box enter
"(space)Web Radio" (The space is made by tapping your space bar one time before you type "Web Radio". Doing so makes your album sort to the top of the list.
4. You can now click on "Playlists" (left tree) and delete "New Playlist" as it no longer serves as a staging ground.
Referring back to the images in my previous post now will now make more sense.
Once you have created your album containing your first stream, you can add additional streams to your album by repeating the steps. As long as you tag your new stream the same way it will end up appearing in the same album.
Enjoy
Addendum: You can make the name of your album Last.fm if you wish. I chose Web Radio because my album contains URLs of streams generated by Live365, Shoutcast, and others. As long as you can identify the URL of a stream you can instruct Media Center to play the stream (File > Open URL ... > Enter URL of streaming file). To identify the URL of streams hidden away in embedded web pages you will probably have to use a media sniffer, this can be a real challenge. One with a comparatively easy to use interface is URL Snooper. However, with all the monster sized streaming archives out there one doesn't have to root out embedded streams.