There are numerous websites where you can immediately, easily, and freely listen to Spanish-language radio. Here are the easiest ways to get started. Pick countries based on what accent(s) you are most interested in learning:
All of these have a variety of musical styles, but you can also find talk stations. Listening to advertisements can also be a good way to get started because advertisements are often very clearly enunciated. News programs can be good too because people tend to speak very quickly, but in clear, standard Spanish.
How to listen:
It can't hurt to put radio, especially talk radio, on in the background. However, the most effective way to learn from radio is to actively listen. Ideally, I recommend starting to listen to radio before you start taking formal lessons. This will help your brain to become familiar with the sounds of the language, and it will make pronunciation and listening comprehension easier when you start learning actual words and phrases.
Once you start learning, when you listen, you will start to recognize words and grammatical constructions in what you hear. After a certain critical point, you will be able to grasp the general idea or topic of what is being discussed. From this point, it is easier to keep improving your listening comprehension so that you can understand more and more of what is being said.
You may find it helpful to employ a dictionary. When starting out, try SpanishDict or Google Translate. Spanish spelling is very regular (much more so than English), so once you've studied the language enough, you will find it easy to spell out most words you hear, and look them up. I recommend looking up words if you hear a word regularly and still don't know what it means.