I visited the link you provided:
- When opening the link with firefox:
a. I click on "Download this stream to listen". I get this window:
b. Here, I click on "Leafpad" and then click on other.
c. Then, I goto Filesystem > usr > bin. Here, I select "vlc".
d. When I click "Open", I get this window and the music starts playing.
- When opening the link with chrome:
a. I click on "Download this stream to listen", it gets downloaded.
b. Then, I click on "Show in folder".
c. Then, when the folder opens, I right-click on it and select "Open With" and then, select vlc.
I finally, get the previous window and the music starts playing.
Hope! this works for you too. Thank You!