I'm in the US.
Shouldn't it appear under "Music" on the top bar?
It simply doesn't exist.
In the iTunes store, it's on the far right, opens up a new drop down window pane... but then just takes me to my own library when I click it
That's exactly what I am experiencing, too. The problem is that I don't have a "Radio" option when I am click on Music under Library. I just have Songs, Albums, Artists, Genres, Videos, and Internet. "Radio" does not appear in the list. I am using Snow Leopard, and some other Snow Leopard users have reported the same thing. Perhaps Snow Leopard is not compatible with iTunes Radio.
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Open the file in the installer called "Read Before You Install iTunes.app" . Under iTunes requirements it states:
iTunes Radio requires OS X version 10.7 or later
Oh, OK... That explains it. Luckily I am just using 10.6.8 on my work computer, so it doesn't matter. I am looking forward to trying iTunes Radio out on one of my other computers. Thanks for the tip!