I figured my problem out. I was able to click on the radio station links, and they created ASF files in the music folder. I then used Shortcut Creator to create shortcuts to the ASF files in a folder in the programs section of start up.
And to answer JonDeutsch's question: the easiest way is to access your mobile device re: activesync, go to the directory windows/startup/programs, and right click, and new folder.
Hope that helps.
P.S. I still have not figured out how to actually create a URL Short cut that I can put into any folder I want. This community is a great group of developers. This would be a great program to develop.