Well there is the easy way...
and the high quality audio way...
1) make sure you have a dedicated music listening program. popular options are vlc player(all OSs), itunes (mac and pc) or winamp (just pc). windows media player isn't going to work though. linux users can use XMMS.
2) open the "open stream" dialog. in winamp, you right click and click on Play > URL and in vlc player click on file and then something along that same idea lol. itunes can do it but i literally know nothing about itunes so i can't help ya =\
3) in put the URL as http://www.purephonix.com:1437/listen.pls
listen in 192 kbps :)
stream's should be up in just a few moments permitting my computer doesn't freak out (which it has been doing ALL day so I hope this evening works out well).