They may or may not broadcast to the internet. I think that people in the olde days of yore used to use FM tuner cards. As chef said, google your station name maybe along with streaming or stream or online and see if you get any hits.
If you'd put the name of the station it would probably have been found for you already if it exists. If you've found it already and it's a particular stream type you're not having any luck playing in WMP, perhaps try winamp.