When I click on “Listen Live,” it automatically opens up a window with Realplayer. Then another window for downloading mplayer in Linux opens.
How would I open it in VLC?
You might need the mplayerplug-in if you’re using Firefox, or kde4-kmplayer if you’re using Konqueror.
Or else install SMPlayer (a frontend for MPlayer) and in it’s menu “Open” choose “Url”.
Though if it’s audio I’d give an audio player like Amarok a try before a mediaplayer like MPlayer.
Amarok for example handles last.fm and shoutcast just fine.
If you can’t figure it out, posting a link to whatever you’re trying to play would help.