Keloyd's did ask me how to add links to his page and since he knows it already I'm posting a tutorial on adding a radio to your blog instead. I hope he gets this.
So first off, go to a site that hosts songs. There are plenty of 'em out there, imeem, esnips, radioblogclub. Search for your song on your preferred site and look for the part of that page that says, Embed. That box contains the code that you are going to embed on your page. Copy the code in this box however you may or may not temporarily paste this code in notepad.
Login to your Blogger account. On your dashboard, click on the Layout link.
On that page look for the link that says, Add a Gadget. Clicking that launches a window of choices. Scroll down on this small window and look for the link that says HTML/JavaScript. Click that or click on the blue plus sign that corresponds to it.