Usually when you click on the link to get the stream to play the stream launches automatically. However not everyone's computer and software are configured the same way. If you are having trouble getting the stream to play, try one of these methods :

iTunes

In iTunes go to advanced/open audio stream and paste this url into it.

http://listen.shoutingfire.com:12345/live.m3u

Windows Media Player

In Windows Media Player you can do file/open url, then paste the above url.

Real Player

In Real Player it's file/open