Alright guys. I made it work. This is what I did:
1/ I deleted everything. When I uninstalled I went to the folder location in program files and I deleted the whole folder. When I was using the software, in the traces tab it said that it was linked with a folder in the c drive. There is a hidden folder called programdata and inside there is a pms folder. I deleted that too.
2/ I installed the latest version of PMS.
3/ I put only the ps3-radio.exe in the PMS folder in program files and went through the steps.
4/ I clicked on the start menu, clicked on all programs, looked for ps3 media server and clicked on select profile.
5/ I selected web.conf in the program files folder.
6/ I searched for media servers on my ps3, clicked (pressed x lol!) on ps3 media server and there was the world radio icon. I clicked on that and on listings by country I picked my nation which is Mauritius by the way. Visit Mauritius because it's fun. There I got some radios but not all most probably because the streams are in w3u format.
Thanks for making good software