Ahh... The good 'ol "German Radio Syndrom".. A known problem with some Cambridge sets, and Creative actually offered to fix the sets if faulty! Had the same problem, but I never bothered.
A little background info:
In most cases the radio station picked up is german, hence the name. At least in Europe.. I live in Norway and still pick up german radio, so it's got to be a somewhat powerfull station.. The problem is caused by bad shielding of the speaker wires, so changing the wires may help. Also relocating them, making them go in other directions may help. I moved the speakers around a bit and the problem dissappeared. If you know your way around an amplifier you can probably do something in there too.
Three possible solutions:
1) Move the speakers around and possibly change the wiring to them as well. (Should also improve sound quality a bit..)
2) Try to get Cambridge Soundworks or Creative to fix them. As mentioned they offered this some time ago but I can't seem to find any info on it right now.
3) Get a new set!
good luck!