Depending on where you are streaming it from I use JetAudio free from click here
Scroll down and select Jetaudio 6 Basic download.
If it is a realplayer stream you will need to configure jetaudio to read the file.
Install Jetaudio and open it. Go to Preferences, File, File type association, in the right hand window select Check all, then Update, then OK and OK again.
Should now be set for almost everything you throw at it.