You can search for Radio Stations from the Seach Bar.
How to Add a Radio Station to Windows Media Player:
a. Click the Windows "Start" menu and click "Windows Media Player" to launch your media player.
b. Click the "Guide" tab located on the top to access the Windowsmedia.com Media Guide. Click the "Radio Tuner" link to launch the Radio Tuner.
c. Click the radio station name you want to add to Windows Media Player and click "Add to My Stations." Click the "Guide" button to return to the radio stations list.
d. Click the "Library" button as your radio station is playing if you want to add your radio station to a playlist. Click the "Now Playing List" and click "Save Playlist as." This launches the "Save as" dialog box.
e. Type a name for the radio station in the "File name" dialog box and click "Save." The playlist for your radio station is saved in the "My Playlists" folder.
You can also refer the following links for additional information:
Step 1:
Listen to radio in Windows Media Player:
Step 2:
Free music: Listen to the radio on your computer:
http://www.microsoft.com/athome/music/onlineradio.aspx?WT.rss_f=At%20Work%20RSS&WT.rss_a=Free%20music:%20Listen%20to%20the%20radio%20on%20your%20computer&WT.rss_ev=a
Here is a YouTube video how to it: