Many, many stations have streaming audio, aka internet radio, but it helps to have a solid connection. If you have broadband, some stations stream at high data rates for near-CD quality. WMP has a Radio Tuner tab you can use to check these out.
An alternative to WMP are programs like MusicMatch Jukebox,
http://www.musicmatch.com/, or Win Amp,
http://www.winamp.com/. They have free versions with poorer quality or paid versions with better quality.
Also, AOL has their own radio, if you have AOL (but I wouldn't recommend you get AOL for the radio).