The site I like listening to is:www.sky.fm
And in true Newbie fashion I just figured out what to do.
According to sky.fm, for Linux users they recommend a program called VLC.
Well after much searching I found it and told Firefox to always use it when opening these types of files.
To answer your other question I am using:
Vector Linux 5.8.6 SOHO Release Candidate 1 Aug-01-2007
I did not see a 5.9 SOHO version, only Standard and my understanding is that SOHO is more geared toward full desktops while Standard is a leaner version for older hardware.
Is this true or should I be upgrading to 5.9?