There's nothing that will work like streaming on a PC with IE and WMA. There are many 3rd party apps that stream stations, but they are hit or miss. You can see if the developer will add the station you want.
You can try Moodio, iHeart, and Nobex. It's no guarantee your station will be supported.
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iHeart does work but it don't have the radio station that I am looking for on there. Nobex, I could not get it to do live feed. Only the play list from that station. Have not tried Moodio. I will do that now.
If there was an app that would let me put in a the URL for the streaming server then that would work as well.
I'm sure I saw a way to stream a live URL feed from a radio station just within the past week or so. Search the forums here or Google it and I'm sure it will come up.