It could be because you haven't got real player,Esc4p3.
Don't quote me on that though.
I'm listening to radio 1 right now & have real player.
I think they have changed to options recently.
Before, when you clicked on 'listen live' you were presented with the options to listen via WMP or Real Player.
Now it seems to do it automatically.
On this link,in the hot topic section, it poses the question 'how do i download real player?'. Going by that i assume that you need to install real player. click here