Speaking of Cajun music on the radio, my favorite program every Monday-Friday is Pete Bergeron on KRVS. Over time, he plays an extraordinary variety of traditional Cajun music, both old and new. His program is a great connection to SW Louisiana.
If only more radio music programs were like his, I might listen to radio more often...
Pandora is a great way to listen to music and you can download the songs you hear to realplayer and then burn them. So that is the means to listen in your car to the songs you like.