"If the station is broadcasting in a particular format aren't I limited to receiving in that format."

The answer to this one is a sort of "yes or no" but mostly "yes."

The broadcast server can use any of several "encoding codecs" to translate the audio/vidio into a file format that's sent to you. You use any of several "decoding codecs" to translate the file(s) received into something that's played by your computer.

A broadcaster that says it's sending Real Audio (RA) usually will encode to the standard Real Audio file type(s), usually .ra for audio, and Windows Media Player can't play those files. The broadcaster could encode to any other filetype that Real Audio can play and one of these might also be decoded by other players; but there are extremely limited choices of "overlapping" file types, and they don't often deliver as good a sound/video quality as the dedicated filetypes.

The same sort of situation exists for a Windows Media Player (WMP) broadcaster. There are a number of choices for WMP encoding codecs, but few of these produce files that are readily decoded by RA decoding codecs.

Media Advice Archive for Windows Media Player includes comment:

RealNetworks. The Player can't play files with .ra, .rm, and .ram file name extensions. RealPlayer from RealNetworks is required to play these files.

This web page also includes a summary of which filetypes WMP can and cannot play, so you might want to take a look at it or tag it for future reference. I haven't looked to see whether RA has similar information easily available.

Either player, RA or WMP, should be able to look automatically for any playback codec that's compatible, that doesn't happen to be present on your machine, and that's available on the player's preferred download site(s). Rarely one of the players will download a codec that interferes with the other player. Usually any such interference will be "repaired" (or replaced by some other interference) when the other player pushes an update on you.

Since the file types the players are designed to use are proprietary, any other player that wants to let you play them has to pay money in order to (legally) include the codecs to read them. This is an immense technological barrier to development of any one player that plays everything.

John