1. You need hardware: PC with soundcard (plus speakers or headphones plug). A 28.8k modem will work, but 56.6K is recommended.
2. Get the free software. RealPlayer/G2 (download it from www.real.com) and Windows Media Player (probably on your PC) cover most of the radio world.
3. Surf directories such as web-radio.com, Yahoo!'s broadcast.com, live-radio.net (international and all Irish stations) and comfm.com/live/ radio. These link to live feeds or point you to stations' websites, where a mouse-click connects you to the broadcast.
4. Technology is still unwieldy, so get used to slow or broken links, and time "buffering" (pauses due to heavy Internet traffic). Enjoy!