True Internet radios are still very hard to come by, but this link gives full hardware and software details on how such a device can be implemented. The Netgear MP101 Wireless Digital Music Player is also of interest, as it uses a WLAN to obtain audio content from any machine on the Internet or on your home network.
A trivial solution to the problem (but with the advantage that it works with any conventional radio within range) is to listen to the desired station on your NAT32 PC and then broadcast your audio output with a small, low-cost FM Transmitter (available from most hobbyist electronics stores).
The NAT32 play command (Usage: play [station]) can be used to start any desired entry in the file radio.txt in your NAT32 directory. It contains a list of short station names and their associated URLs and is formatted as follows:
swr3 http://www.swr3.de/audioplayer/webradio.phpoff http://127.0.0.1:8080/off.htm
Be sure that each line ends with a newline character.
Click this link to play SWR3, or edit this file (radio.txt) to contain links to your favourite Web radio stations.
To stream your own video and audio content onto your network, you might like to try VideoLAN.