It depends on region.

But try going to the Media Guide (or Urge, or Online-Store-Name) tab.

Select "Media Guide". In the UK region, the Radio list is at the top
of the navigation, click that to see the list of radio stations.

At the bottom of the media guide, you can try alternative media guides
(I've got UK, Japan, Taiwan, Korea, More...  listed on mine)

If you like a station, make sure the right hand panel is showing while
it plays. If that's not visible, click under "Now Playing" and choose
"Show list pane". The radio playlist shown can be right-clicked, and
then use Save As to save it as a recent playlist - you can then access
it from the Playlists are in WMP on the left hand side of the Library.

HTH
Cheers - Neil
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Digital Media MVP : 2004-2007
http://mvp.support.microsoft.com/mvpfaqs