First your going to need a full web capable mobile phone or PDA

For this purpose I used a Nokia n95 They cost an arm and a leg on pay-as you go but then internet on the move is not really viable unless you have unlimited monthly data bandwidth. Shop around when your pay monthly contract is up. Do NOT attempt this unless you have unlimited data (e.g. T-Mobiles web and walk tariff]
You will then need to download a suitable media player that supports shoutcast/mp3 streams unfortunately the ones that come with the n95 DONT!!
NOKIA do a great FREE internet radio application
CLICK HERE
iPhone users can install the new Shoutcast app
Click here NOTE: you need iTunes to download bt its tottaly free
Once you have the player installed fire it up and try the player. if it works then you may want to invest in a small FM transmitter
there’s plenty available from ebay etc. eg. this one you can then plug this into the output of your phone it will then transmit the signal to your car FM band on your car system.
Here is my working system in my car:-

Just a word of warning even 'unlimited' fast internet has a fair use policy and listening to internet radio will use 96kbps so don’t use it too much.
I know this is a fair bit of effort/cost but the time will come when car stereos will come with built in web radio capability, can't wait!!
