did you google for it yet? you can rent station space at places like live365.com, shoutcast and similar. That's the official route that's going to cost you per month and then at some point you will have to pay royalties. Check FCC.gov for royalty information.
If you start an "underground station" you might escape the monthly charge that live365.com, shoutcast impose, but you'd still have to pay for bandwith and such, not to mention that the royalties are not going away there either.
Biggest problem that i've come to find out is that a local radio station with a predictable reach of audience (geographically) pays different royalties than when broadcasting online.
Last but not least, to present content that's truly outstanding and gives you the opportunity to sell advertising, which will solely be based on reach and target group, you'll have to know about the principles of radio, music and editing.
I'm certain that NPQ - here on NP can give you some insight on how to run an online station.
Best of luck,
M.
Just found this one, it's an interesting read:
http://www.iliketunes.com/stationguide.asp