When you download the net radio links for MP3 streams off a web page, then all you have to do is find them in the Finder, and double-click them. (like when you click on the "MP3 stream" links on
this page)
They will be added to the iTunes Library - though not to the "Radio" section, which is dependent upon what radio stations are listed in whatever station directory server Apple uses.
If they are not MP3 streams, but RealPlayer or Windows media format, then iTunes cannot play them.