http://www.viddiradioplayer.com not only hosts a nice looking and well playing..um..player, it also lists hundreds of links to direct radio streams from all over the world. You will need WMP and/or Real Player though.

Now go check out Radio Eger 101.3MHZ and pick up some Hungarian... :)

Ya know, Hungarian is the most difficult European lingo to master.
Just thought Id thro that in haha