Some Internet radio stations that play in iTunes don't play through AirTunes, even when you've selected AirPort Express in iTunes. Instead, the radio station plays through the built-in speaker or audio-out port of the computer.
There is no workaround at this time. This document will be updated as more information becomes available.
Internet radio stations that play outside of iTunes (in a browser window or another application like QuickTime Player) do not play through AirTunes.