Trouble is that clicking on Listen to Stream from http://www.kpig.com produces a pop-up player that can't find the proper plug-in. The issue seems to be that a mmsh (microsoft media server) protocol service is missing.
This is easily resolved by opening a terminal window and getting the vlc firefox plug-in that enables the player.
From the Main Menu panel -> Applications -> Accessories -> Terminal
sudo apt-get install vlc mozilla-plugin-vlc
You may not even need to restart Firefox. The plug-in will work although you may get a confusing player message: Waiting for video.
This is just a harmless message. The audio plays brilliantly.