Most of the stations on live365 are free, though some do require you to buy the VIP package. The easiest way to tell is to look at the play button - yellow means it's free and gold with VIP underneath it isn't free.
If your listening for free the broadcasts contain adverts promoting live365 and a few other US products. I believe they are cut out on the VIP account
I have live 365 set up to stream through winamp to take advantage of the asio plugin I use but it does have a stand alone player.