does exist a program that give me the possibility of listen to the radio with my nokia 6600???? (as some others nokia phones do)
Radio 6600
Not really, because receiving radio stations requires a broadcast radio receiver hardware, too, and the 6600 doesn't have such hardware. Series 60 based Nokia phones with a built-in FM radio receiver are the N-Gage (original, not QD) and 6260.
Some radio stations support streaming of content over the network and the Real Player on the phone could be used, but it will be costly. There is also a dedicated program for that, Avec Radio, which you should be able to find in the shop (http://www.allaboutsymbian.com/shop/), but using it will also run up your data bill just as with Real Player.