Marketing will be your biggest issue. Otherwise you can buy programs that allow you to set one up with minimal studio fuss.
They'll be big soon in my opinion, they'll be house radios with internet radio on them and phones will have them as well. At least thats my futuristic veiw on it all.
Had a few programs...
Pirate Radio - Unrestricted PC-based internet radio broadcasting
Seems cool was going to set one up myself at one point.
Listen to these guys;
PLAY.FM :: Web-Radio & Audio Archive
At work. Get the tracklisting shown if you can. Theres nothing worse than hearing a cool track and not knowing what it is.
Give me a shout if you're intrested in talking business, I work in the music industry.