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.
It should initially show up as "Killradio" in the "mixed up" genre. Double click on it to start playing.