I've been running an online station for almost a year, targetted at the online gaming community, and what these guys have said above is correct.
Its expensive, its hard work, and its very difficult to get noticed unless you specifically target an untapped audience.
If you just want to be a cover-all station, then you will be competing directly with a lot of live365.com stations, as well as big dogs like Digitally Imported.
Licensing fees cost an absolute fortune. If you're not making a profit, the flat fee is very costly. If you do make a profit, then you have to pay a flat fee plus a percentage of your earnings to the licensing company.
As far as running on-air advertisements goes, you'll need to be hitting some pretty high listener counts before anyone will pay you - which means ensuring you have a server with a high listener capacity - which, in turn, means higher costs.
In addition, if you're considering doing this seriously, you'll need SAM broadcaster (no other broadcasting tool beats it) - for which youll need a license (around $200 when we bought ours) - plus if you have more than one DJ, each of those, in turn, will need licenses (you can get a multi-user license agreement with spacialaudio... for 30 licenses we paid something in the region of $4000)
So, realistically, if you are wanting a profit-making online station, you need a lot of startup capital, a lot of time, energy, effort and patience, and a lot of dedicated, enthusiastic and creative people to help you.
Just to give you an idea... we've been running for just under a year - in terms of other stations operating in the same market as us, our performance is respectable and our reputation is stellar - yet this month is the first one where we'll break even on our monthly fees - and that income has came directly from a network of websites tied to the station itself, rather than money the station has made.
Its a tough gig, you have to love what you do to make a go of it.