This tutorial is for Audacious but it should work with all other media players, if you simply replace the word where I mention it below.
Everywhere you see
[username]in this tutorial replace it with your username you use to login to the system.
So, step 1: Creating the online radio launcher
Create an empty file with no extension somewhere you like and keep it there. I chose /home/[username]/Music for that file.
Step 2: Setting up the contents of the launcher
Open that empty file and type in it
audacious /path/to/the/playlist/you/wanna/run.pls(or .m3u8 - whatever is your preferred format) and save it with whatever name you like. For instance, I named this file "audacious nrj terminal" because the radio I wanted to run is NRJ. There is an interval between the word "audacious" and the playlist path!!!
Step 3: Making the shortcut to the launcher
Right click on an empty space of the desktop and choose "create a program launcher in this location".
My interface is in my native language, so I have no idea what this text is in English - I'm translating it from my language to English
and there might be some differences.
Clicking on "create a launcher here" will open the following window:
3A. In the "Name" field type whatever you want the shortcut to be named.
3B. In the "Command" field either manually type the address to the launcher (the file without extension) or navigate to it using the "Browse" button.
3C. The "Comment" field can remain empty.
3D. Check the box "Launch in Terminal?".
3E. Click the rocket icon and choose an icon for it, if you have any.
Click the "OK" button.
If you did it right, when you double click that shortcut, it will launch Audacious with the playlist whose address you wrote in the file with no extension.
Note: you can't set up a launcher for the playlist directly because that window (the screenshot above) expects a Linux program which is a file with no extension. If you try to make a shortcut in the Windows-like manner, it won't work - the OK button will remain disabled. The above tutorial is simply a workaround for that expectancy.
If you use something else than Audacious, like Clementine (for example), simply replace "audacious" in the no extension file with 'clementine':