Try disabling your active desktop... you could have a desktop item running that is playing this station...
Right click on the desktop, click properties, then click Web, then disable the active desktop... This only works for Windows 2000, ME, 98, and 95....
It could also be a background program running.
If it is, try uninstalling it. You may see it in the system tray (where the clock is) see if any of those icons are the radio station, and then if one is, right click on it, and select EXIT or DISSABLE.
Please post more information on how this happened, we need to know more to help you anymore....