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To listen to WAVA you'll need an MP3 player that supports streaming media.

The built in player uses Windows Media Player so no download is necessary.
Simply click on the "Listen Live" link to the left,
and press the yellow PLAY button on the page that comes up.

However, if you prefer a third-party MP3 player, here are two very good ones.
The JetAudio player supports MP3PRO, which will give you a near CD Quality sound.

Currently JetAudio is only available for Windows. It is freeware.
I use it and highly recommend it.
 
Download JetAudio for Windows
Download JetAudio
Download iTunes 3 for Macintosh
Download iTunes 3