Mplayer might not be able to play all streams without additional codecs.
The good news however is that it is easy to get those third party codecs. They can be downloaded here:
http://www.mplayerhq.hu/MPlayer/releases/codecs/
Probably all-20110131.tar.bz2 is a good choice. This file is an compressed archive. I'm not sure how you extract it in windows. Probably winrar will do the job. On linux it should be pretty straight forward with most mainstream distributions.
So extract those files and copy them into this folder (if this folder is not present create it) on the internal memory:
system/mplayer/lib/codecs
If you want to add listen to your own streams and you can't figure out what the stream url is please feel free to post in this thread.
You also may have a look on sky.fm or shoutcast.com they have a good variety of stations.