
It has been possible to stream Radio stations to handsets for some time via the Real Player software. However on many networks (including several in the UK) this is blocked for most users. This software should work on any network anywhere.
Bear in mind that this does involve intensive data usage (roughly 7 mb an hour). Therefore this program is going to be of most use if you are on an unlimited dataplan (such as those available in the US). Virgin say they are actively working with UK networks to encourage cheaper or unlimited data plans.