The following is an advanced tutorial for playing music through your ingame radio. I borrowed heavily from the radio tutorial found at the MxO Vault (linky for a more indepth version!) Everything has been tested and works on my WinXP machine.
There are three fundamental sections that will be covered:
-Radio Stations,
-Adding Favorites, and
-Playlists
The Basics
Accessing your radio is easy. In the lower right corner of your screen, you'll see the game options interface:
Click on that and click "Radio". The radio panel will then open:
If you have added favorites, the first one on the list will open and begin playing. If you have no favorites yet, it will open blank and cut off your ingame music.
Your basic controls are normal music player controls; Play/Pause, Stop, Skip Back/Forward, Mute, and Volume Control. In addition, you have an Exit button at top right, adjacent to a blue button that will bring up your favorites list.
Playing Radio Stations
The command to play a URL is
/radio play http://(URL)
That's it. That's all you have to do to play a radio station. Well, that and know the URL's of your favorite streaming radio stations. 
These are a few of the stations that are most Matrix-centric:
Enigma Directive-
/radio play http://www.enigmadirective.net/enigma.asx
Split Infinity-
/radio play http://www.siradio.fm/listen.asx
Exile Radio-
/radio play http://www.exileradio.net/xrn.asx
Radio Mega City-
/radio play http://www.radiomegacity.com/listen.asx
Cake Radio-
/radio play http://www.cakeradio.com/listen.asx
xfm Radio-
/radio play http://thex.fm/listen.asx
(TIP: Copy these links, then Paste them into your chat window using ctrl+insert)
I'm not sure all these are still running, but I am sure that there are more out there. You can also add whatever stations you find out there, so long as you know the URL. A great place to look for a ton of different web stations is IcebergRadio.
So, to play Split Infinity on your ingame radio, simply type
/radio play http://www.siradio.fm/listen.asx
into your chat window. That's it!
But what if you want to play your own tunes? A little different, but just as easy. 
First, you need to know the path of the file on your harddrive. Let's say it's something basic like an mp3 in your 'My Music' folder in Windows. The path would look something like this:
C:\Documents and Settings\(your name)\My Documents\My Music\navras.mp3
To play this file in your radio, simply type the whole thing in:
/radio play C:\Documents and Settings\(your name)\My Documents\My Music\navras.mp3
It's important to remember that you have to use the backslashes. Forward slashes will not work.
Adding Favorites
There are two methods for doing this; one ingame and one out.
In game, type
/radio addfave (nickname)|http://(URL)
The command is /radio addfave, the nickname is what you want to display in your favorites list, and the following piece (|) is called a 'pipe'. It looks like a stretched-out colon and can be found on the backslash key. It is important to note that there can be no spaces between the name and the pipe and is followed immediately by the URL path, also without a space.
A complete add favorite command would look something like this:
/radio addfave SIRadio|http://www.siradio.fm/listen.asx
Out of game:
Editing your favorites file is by far the easier method of the two. In your game directory (usually found at C:\Program Files\ Monolith Productions\The Matrix Online\ or, if you downloaded the game, you might find it under C:\Program Files\Sony\Matrix Online\) is a file named mpfavorites.txt. This file can be edited using Notepad, just make sure you save the file back into the right directory.
In this file, all you need to type is the nickname, the pipe, and the URL or path for each of the files and URL's you want added. Mine looks like this:
splitinfinity|http://www.siradio.fm/listen.asx
exileradio|http://www.exileradio.net/xrn.asx
enigmadirective|http://www.enigmadirective.net/enigma.asx
radiomegacity|http://www.radiomegacity.com/listen.asx
cakeradio|http://www.cakeradio.com/listen.asx
xfmradio|http://thex.fm/listen.asx
Music from the Website|http://matrix.hax.nu/temp/music/Music_from_the_Matrix.m3u
D:/none.wpl
You'll notice the last entry 'D:/none.wpl'. It is a dummy file that is added on to make sure that the file in front of it is not clipped short by the player. I got the notice to use it from a post Chuui made about this subject on another radio thread.
Editing your favorites in the mpfavorites.txt file gives you a much easier platform to tweak these entries, rather than trying to do it in the game with the very-unforgiving chat formatting.
It is also important to note that this is the only place you can delete a favorite from your list. There is no function for this ingame. Simply edit the file and remove the undesired favorite from the list.
Playlists
So, you have eclectic tastes in music and want to play all your old Yanni files, eh? Or maybe you want to make your own radio station? Playlists are the easy answer to both, once you get the hang of them. The best thing about playing playlists is that you can actually use the radio controls to pause, skip, or repeat songs!
There is a secret to making playlists, are you ready for it?. . . NOTEPAD! lol.
Thats right, a playlist can be created using Notepad. All a playlist is, is a text file made in notepad and saved with a different extension. It merely consists of a list of the paths to the music files (e.g. C:\Documents and Settings\(your name)\My Documents\My Music\navras.mp3), and . . . well, that's all. Just make a list of those songs with their full pathways, and then save the file with a .m3u extension.
Save your playlist to a location that is easily accessable, and you can play it in your radio using the ingame /radio play command. You can also make your playlists part of your favorites, in the same manner you would add standard radio station or file.
"Web Playlists"
There is a new application of playlists, recently discovered by myself. You can share your playlists with your friends in game. You merely need to host your music files and your playlist files on the web, in a publicly accessible directory, usually a 'public_html' folder for a website.
The playlists need to have listed the URL paths of each of the songs on it. It will make it easier if the songs and the playlists are in the same directory. For obvious security reasons, make sure that directory cannot be shared, so people cannot download your licenced, legal music. All you're doing is enabling them to listen to your playlist.
So, for example, our EPN faction website is http://matrix.hax.nu/ I have uploaded the mp3's and a playlist of music from the Matrix movies to a directory on the site in /temp/music. Anyone can now access my playlist ingame, the same way they do a radio station!
Check it out:
/radio play http://matrix.hax.nu/temp/music/Mus..._the_Matrix.m3u
These 'web playlists' can also be added as a favorite to your favorites list. So, think you've got a killer soundtrack the whole faction can PvP to? Want to record a bunch of rants about the game? Want to podcast? All you need are the soundfiles, a playlist to organize them all, and a website to host them!
Well, that's it for the Radio Tutorial, until we can find other coolstuffs to do with it!
Happy Listening!
