I did exactly what you said:
* plug the earphones
* start the main program (by clicking the configure button)
* click on a radio station to hear it (I do hear it on my earphones)
* click on the radio image that is in the left bottom corner to check if I can hear the music in the speaker (and I do)
* click again in the earphones image to hear it in my earphones (and it works)
* close the main fm radio window
* press stop in the applet window
* open the media player
* click on any song.... but I do not hear anything

did I miss something