Clicking the Ogg Vorbis streams on the Radio Paradise site (http://www.radioparadise.com/content.php?name=Listen) opens a download dialogue box but not my media player. All the other links open my player fine. My browser's settings look ok and are pointing to the system default player. I'm stuck.
I finally got it working with Opera. You have to tick the box hide file types opened with Opera to find application/ogg. You can then click on edit and choose which program to open with by browsing and octal's point about ticking the box about the web address is important.