MusicBox.NET - Playlist - Add From URL
You can add an item from a website by using it's URL, it is recommended to use a directlink.
To do so, either press CTRL + SHIFT + A on the main window or click the "URL" button available in the playlist window, after doing so, you can type in the URL into a box that pops up and click "Add From URL" this function also support internet radio stations that ends with a format such as ".asx", ".pls", etc.