Yes, I'm using a PC.

Once you open the radio station in your Media Player, just bookmark it. And you can play it anytime from your Media Player bookmarks. (I guess you already added a bookmark since you were asking for a URL.)

Well if you're good with HTML, you can look into the source code of any page where your desired radio station is playing, and find out the URL that the embedded flash player is streaming from. Dunno how to explain that in a better way. :P

Yes, the FM transmitter should work. I have tried transmitting a streaming radio station to a car radio, and it has worked great for me.

Akash.