I did the following: On my desktop linux box, download that link: wget "that URL of yours" (note quotes)
This got me a text file. Inside that file were four new URLs, these point to the actual stream. I opened the media player on the N800 and (in one of the menues) I could enter that URL (I believe all four are the same station), and it started playing ok. However, the Media Player is pretty lame, there's no obvious way to edit the name of the station, for example.
(One of the URLs that worked for me: http://67.19.5.35:80)

There's probably some other way too.