First please make sure that you have the latest version of Internet Explorer, you can find it here: http://www.microsoft.com/windows/downloads/ie/getitnow.mspx
Secondly, open Internet Explorer click on "Tools" and select "Internet Options" in the drop down menu. A window will open, select the "Advanced" tab. At the bottom you will see "Reset Internet Explorer Settings", click on "Reset...". Be aware that by doing this all your cookies, temporary files and add-ons will be deleted and/or disabled. Close Internet Explorer.
Reopen Internet Explorer, you should be redirected to a welcome page. Do NOT turn on automatic Phishing Filter, this is critical, if you do turn it on you need to go back to step 1. Please note that you can be asked if you want to turn on the automatic Phishing Filter at any time during your browsing experience, do NOT turn it on.
Make sure that you have the latest version of Flash Player, you can get it here: http://www.adobe.com/shockwave/download/download.cgi?P1_Prod_Version=ShockwaveFlash
Last, try to listen to the station you were trying to listen to and let us know if your problem is fixed.
If it's from the office: You should ask your network administrator if they have blocked the stream URL in the firewall office.
If it's from home: Are you using any kind of firewall, antivirus or parental control? If yes, try to disabled it and try again, to make sure that it's not one of theses software that creates the problem.
If you can listen to the stream after you have turn it off, that means that you have to change your settings in order to be able to listen to the stream.