The player does not install because it's not an Android app.
There is, as far as I know, no "official" Android app for ESPN Radio, at least yet. There are several ESPN local radio feeds listed in the existing Android streaming audio apps (StreamFurious, StreamItAll, etc.), with varying degrees of reliability.
DroidESPN works, and if it holds up, will be worth the $2.99. It appears very unofficial, and the developer can't spell "Cleveland". (He also has the frequency of the main ESPN Radio affiliate here wrong, it's 850.)
But the audio is there, which is really all that counts.
I wonder how the "Worldwide Leader" feels about this, especially since it is a paid app. This is obviously not their program, but I'm glad SOMEONE cracked the "code" to get it on the Droid!