Pandora

there is nothing to download.
yoy visit the site
www.pandora.com
you set up a profile and create your own radio stations based on favorite songs or artists.
the knowledge base plays music similar to your criteria. you can rate it so it gets to know your likes and dislikes to make its playlist more specifically tailored to your needs.
its quite wonderful.
if you have a macintosh you can download a program called airfoil which will "hijack" the stram so you can stram it to your stereo via airport express.
enjoy!

pandora is not bad but its library is limited. I find that the same songs are repeated.

For getting exposure to new music and artists, I am thrilled with
http://www.last.fm

Its free, and with the benign audiocrobbler plugin (also free) you can keep track of everything you listen to.

Audiocrobbler updates last.fm as to your listening habits, then, using collaborative software (like amazon's buying suggestion bot) feeds you an individualized 128kbh stream of suggested music. You vote these suggestions up, down, or skip, which then further refines the suggestions.

If you are willing to pony up for the $3 a month subscription, you then have access to your own "loved tracks" station, you also have access to other members' loved tracks stations.

I have found many artists there that I now treasure.