Too tired to do a full-blown How-To, so a quick-n-dirty will hafta do.
Concept: Capture LastFM radio with a proxy, create Preset to play proxied stream
Software: Python (for your platform) http://www.python.org/download/
LastFM Proxy 1.1 http://vidar.gimp.org/?page_id=50
Steps: Download, unzip and install Python (installer included) and LastFM proxy (preferred location,ie. My Docs). In proxy folder, edit 'config.py' file to include your username and password. Launch 'Main.py' in proxy folder (may want to create a shortcut placed on desktop for future use, I put it in Quicklaunch), a command window indicates Python running, with "connecting to LastFM....to tune in point your browser to http://localhost:1881/"
On Roku presets, create LastFM preset where url=http://xxx.xxx.xxx.xxx:1881/lastfm.m3u (x's are your puter's actual lan ip address). Click play on the preset, and stream should play after a brief pause. Metadata (artist, songtitle) is sent to Roku as usual!
Urge to LastFM? Click new shortcut, play Roku preset...easy as py(thon)!