Connecting to scansandiego.net is quite easy if you have the proper software installed. In fact, it may be as easy as clicking on the "tune in" link, in the "What's On" page. if you are still reading this, it probably means the link did not work and you want to know why.
If you click the link and get something similar to the following, then you may not have your software, properly installed.
For Windows computers, I find that winamp and vlc works best. Google can tell you how to get these. If you connect to the mp3 streams, winamp and iTunes work well.
For apple computers, running System 10 (OS X) I find that MacAmpLite works best. If you want to use the mp3 streams, iTunes works quite well.
For Linux based computers, I find that XMMS works best.
Once you have the proper software installed, try clicking on the "tune in" link. If that doesn't work, connect manually. It should be clear from your software documentation how to do this.
For example:
In winamp, follow these steps. Goto: File -> Open URL -> and type in the URL as listed below. Other audio players are somewhat similar. They will say something about opening a stream or an "http source." If you need further help, please ask questions in the support forums.