There are two ways to listen to LP Radio:

Custom Player (Recommended)
This will launch the player in a custom Windows Media player that shows you the name of the currently playing song and other fun facts. Note: When you launch this you may getting a message asking to you verify it's safe to load the page. Just click OK and everything will load fine.

Windows Media Direct Player
This will launch the player in a standard Windows Media player window. You will not get any song information while listening.

WinAmp Player
This will launch a PLS file that plays in WinAmp and other players that support PLS playlists.
Note: This will have the best chance of playing if you're having Firewall issues.