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PLS is a computer file format that stores multimedia playlists. It is a more expressive format than basic M3U, as it can store (cache) information on the song title and length — extended M3U supports this, too. With PLS version 2, playlists also include a PLS version declaration.
To play these files you need a media player on your operating system that is able to play these files. One of these media players is iTunes.
If you wish iTunes to handle this there is a couple ways
1. Obtain the URL to the file you are clicking on, Typically if you right click on it and click copy link it will copy the file link location.
Once you have done this launch iTunes - Click Advanced - Open Audio Stream - Paste the link you copied. The link should end in .pls iTunes will now play this file for you.
2. If you happen to be able to save the file, Simply launch iTunes, Click on File - Open File - browse for the .pls file you saved and open
3. Launch iTunes - Preferences - Advanced - Use iTunes for internet playback Press Set. Now go to the website click the link and it will auto launch in iTunes.
http://www.apple.com/itunes/features/#radio