Streaming media is sent to your computer in a variety of formats.  The difference between these formats is a lot like the difference between Fords, Chevys, and Chryslers.  However, the choice is for the station supplying the audio and not for the consumer receiving it.

To listen to streaming audio, you need to have the correct player and each player supports many file types.  Rather than cluttering up your computer with a lot of media players, it is best to have as few as possible.

Windows Media Player plays a wide variety of formats, including MP3.  Go to the Options menu to select all file types to ensure that it can play as many as possible.  If you need more, download only what you need.