It's pretty easy, but the link on the website doesn't work.
On the website, killradio.org, there's a pair of links to the stream. These play in most media players that support playlists. (The files end in m3u.)
To play these in Rhythmbox, the player I prefer on Linux, I do this:
Click on the Radio icon.
Click the "add" button - it might not appear as a button, but it's right above the radio listings.
Paste this URL into the box.
http://killradio.org:8000/killradio64.mp3
It should initially show up as "Killradio" in the "mixed up" genre. Double click on it to start playing.