Vikram,
You should be able to achieve this using the MediaPlayer; however, depending on your format it may be difficult. For example, if you're trying to play an online radio stream that uses .pls, or .m3u, you would have to parse that file, and pull out the true URLs to use.
Beyond that, you should be able to use MediaPlayer's create method with a URL to start streaming playback. Keep in mind that if the streams URL redirects (which it likely does) you may have to resolve the URL. A simple way to do this is use HttpURLConnection to open a connection, then connect(), then getURL(). You'll likely need a string url, so call toExternalForm() on the result from getURL().
Additionally, If things aren't working for you with MediaPlayer via URL, you might have to come up with your own buffering mechanism to get the data from the server. That being the case, you can try this tutorial: http://blog.pocketjourney.com/2008/04/04/tutorial-custom-media-streaming-for-androids-mediaplayer/
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