Further to the 3rd link above, you need to be aware that it's effectively impossible to broadcast copyright material, on the internet, from the UK unless you've got very deep pockets (or advertisers with very deep pockets). The relevant licences are likely to cost you thousands of pounds. See here:
http://forums.streamsolutions.co.uk/showthread .php?t=2529
You don't require a licence to set up an internet radio station which uses all of your own material (or other material not subject to copyright restrictions). So you can write and perform your own comedy sketches, plays or songs without any form of a licence but you can't broadcast commercial recordings.
Chris