What if you want to listen to a service that has yet to introduce a dedicated Windows 8 app? Pandora and Rdio can be played in the Metro version of Internet Explorer, although the interface for each shrinks down to unusable sizes when docked to the side of the screen and each stops playing when the page loses focus. MOGs web client won't play in the Metro version of Internet Explorer at all.
Spotify doesnt have a web client or a Windows 8 app, so the desktop program is your only choice there. (That's the sound of a Surface tablet owner's heart breaking.) In fact, the desktop client is your best bet for Rdio, MOG, and Spotify. Pandora's web interface translates to Windows 8 nicely, however.
If you insist on using the modern UI version of Internet Explorer 10if youre on a Windows RT device without access to legacy desktop programs, for exampleyou can pin a shortcut to the web interface of your chosen music service directly to your Start menu. Just open the website in-browser, select the Pin icon to the right of the address bar, and then click Pin to Start. That being said, given the issues that spring up when streaming music through IE10, I recommend using a dedicated Windows 8 music app or a classic-style desktop program if it's possible.