.deb files are difficult to install because of dependency issues. My sucess with them have been 50/50 at best. It is best to install via repositories or .install files witch seem to add the required repositories for you.

You can get .install files by browsing (preferably with your n800) to http://downloads.maemo.org/ and the FM radio program can be found here:

http://downloads.maemo.org/multimedia/

Edit:
After you install it you can run it by clicking "Home" (top of screen when no programs are running,) then "Select Applets..." then "FM radio."