you need to convert the formats of the song!
there is a software may help you, wondershare streaming audio recorder, it can record streaming audio as MP3, WMA, WAV, AC3, M4A, AAC, OGG and APE… and then convert recorded files into WMA, AAC…
with the right formats, then you can listen on your nokia phone now!
Free try: http://download.download-streaming-video.com/streaming-audio-recorder_full383.exe
More information: http://www.huludownloader.com/streaming-audio-recorder/#159