Unfortunately if its an ActiveX only stream then it won't work on your phone. PIE and Opera and Skyfire won't do ActiveX.
The good news is that it might be possible to find the stream in another format. For example my fav radio station here is Z1077. The stream on their website is an activeX stream - boo. But there is a PDA link on The Mobile Stream Center that works ONLY for PDAs (like the Mogul, Touch, Touch Diamon, Touch Pro etc etc)
http://www.thestreamcenter.com/pda/ is the link *edit* forgot to say you need to use this in Opera or PIE
There are a lot of radio stations there, and most Clear Channel Broadcasting stations have PDA links. Its organized by state, but not city, so you'll have to search thru the stations in your state but its not that bad. it should play in your default media player just by clicking on the link they provide. If you have not changed it, it will be WMP.