What is "A plug in is needed to display this content"?

Plug ins are programs that run specific types of content. So if a site uses flash video or similar you would need to install flash player. You need to check what type of plugin this site requires. And decent site will ave link to the plugin program you need.

Try installing the these direct show filters, these are for streaming media and should decode the audio stream. If media player still does not play the Radio stream consider upgrading to VLC player which is a better player, also on this site to download.