Hey Shweta, There's basically two methods for you to get the streaming to work.

Method 1: Click on the link to the right hand side of the page titled "OpenPLS-Easier Streaming". Scroll to the bottom of the page, download and install the app. Once its installed, the .PLS file will automatically open up in Windows Media Player. (here's the link, just in case it gets removed from the side Get OpenPLS )

Method 2: Download and Install Winamp.. once its installed, clicking on the Show 1 and Show 2 link should automatically open the .PLS file and play it in Winamp.( Get Winamp! )

Let me know if you have any problems.

EDIT: You may also want to check your firewall settings