How are you trying to stream internet radio? Is it through your web browser, though iTunes or through a dedicated app?
If you've been trying to do it through your web browser I can't think of any reason why it shouldn't work but, given that it doesn't for you, your next route to try should be iTunes:
https://support.apple.com/kb/PH19478?locale=en_GB
If that doesn't work, try myTuner Radio:
https://itunes.apple.com/gb/app/mytuner-radio-live-stream-internet-radios-player/id881415018?mt=12