There are two different ways to add streaming stations to iTunes depending on whether you know the direct URL to the stream or are adding a link from a broadcaster.
If you have the direct URL (and it needs to be the URL directly to the stream, not a link to a web page), in iTunes go to 'Advanced' and then 'Open Stream'. Enter or paste the url and the station will begin playing. The link will then be in your library and you can, if you wish, drag it to a playlist.
To add a playlist from a broadcaster such as Live365, go to the broadcaster and select the station you want. The playlist (a .pls file) should download to your system. If the station does not begin to play in iTunes automatically, double-click or drag and drop the .pls file into the iTunes library window and the playlist's link will be added to your Library. Again, once in the library you can drag it to your own playlist if you wish.
Note that this presumes that the station in question is streaming in an iTunes-compatible format. Some stream only in Real Media or Windows Media format, which can only be played in their respective players (or in the case of Windows Media, a few compatible players).