I recently got a PSP for Christmas & I found out that I could listen to the radio. I can't figure out how to access it! Any suggestions? :(

Did you get the latest firmware? I think it's 3.80.

If you've got that then there should be an icon for internet radio in the network section of the XMB.

Yup.... you need 3.8 and then you need to download a radio from (I believe) the network menu. Once a radio is installed you access it from the network menu and it actually work very nicely.