These streams never work for me. I've tried updating iTunes several times just to gain access to these streams, including twice right now, and it has yet to update. The anticipation is killing me.
Sometimes the link takes a bit to propagate to all the iTunes players I've noticed. I clicked it from iTunes and it didn't work the first time -- but from this link here it does. Their linking system is weird.
Edit: Also make sure you've tried their "radio" before. In your library click radio up top and play anything to make sure it works -- then click the link. That activated it on my laptop.