You can listen to live streaming internet radio if you have a mobile phone with a 3G connection. The phone should be able to run J2ME MIDP applications (most do). Download and install MFRadio. It is open source and free. MFRadio can only play Mp3 streams.
The second step is to be able to connect your phone to your car stereo. This is highly variable, so you will have to find this out on your own.