Internet Radio can be a lot more costly and complicated than most people imagine.
The important things you need are as follows:
Shoutcast servers (try not to go for and hosts with data transfer limits on their shoutcast deals)
SAM Broadcaster - if you are serious about internet broadcasting, this is the program you need. You can find it at
http://spacialaudio.com - a licensed version costs around $200-$300. Please bear in mind that if you plan on having more than one person broadcasting, each will need their own fully licensed version.
Royalty coverage - you will need to ensure you pay the relevant royalties for the music you broadcast. Dealing directly with record companies is not only extremely costly, but also very time consuming. A good place to start would be
http://live365.com - who can take care of this at a much cheaper rate (albeit still fairly costly)
Fully legal mp3 collection - this one explains itself.
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In addition you'll also need a lot of time, effort, energy and patience, as well as a strongly targetted concept. There are a lot of generic stations out there, so in order to succeed you'll need to find your own niche.
Also - prepare yourself for it being a loss-making venture for a while. The costs can be huge and grow excessively the more popular you become - and you will need strong audience figures before any potential advertiser will touch you.
Lastly, be realistic. You will not hit hundreds of thousands of listeners - so don't guage your success by those sort of numbers. Instead, research other similar stations and measure your performance against theirs - once you become the most popular/successful station for that niche - then you'll have something to attract advertisers for the particular field you are covering.
Hope this helps.