Hey iSheleg,
You can create a radio station in iTunes from any location you can play a song. Listen to Beats One or iTunes Radio - iTunes Help If you like an artist that is in the iTunes Store but you do not have any of their music in your iTunes library, go to the store and search for one of their albums or songs. Select a song and play the preview. While it is playing, at the top of the screen you can then right-click (or control click) on the area that shows what is playing and select New Station from Song or New Station from Artist from the contextual menu. A new radio station is created from your selection and starts playing.
Thanks for using Apple Support Communities.
Enjoy your music!