If you really want to get down to it, you need to check out Sound Exchange (http://soundexchange.com/
) for information on royalties and performer's rights. A couple years ago, there was a big movement by Sound Exchange and congress to go after all the big internet radio stations and get payment from licensing issues and copyright issues and such. They were asking for so much, it pretty much put a few companies out of business and others selling off their company (I.E.: Last.fm going to CBS Interactive).
It isn't as serious as it seems for small time broadcasters and podcasters, but it does cost money to stream audio. There are places to do live streams like SHOUTCast or SpacialNet. I personally use Live365 for Infinite.Bit Radio (http://www.live365.com/stations/evlive365?play
), but mainly because I use to work there and it is cheap. Going through them at least takes care of all the licensing stuff. There are some restrictions you have to follow, but when it comes to creating a station to try to attract a lot of listeners, it takes a lot of money to do it.
Hope that helps.