Tested today out of curiosity and yes you can use UK McDonalds free wifi to listen to the radio while there. The speed was sufficient for 128k stream. There is web based login system, but that is easy peasy. Making a manual for KK's PSP Radio, so am going to include details in there.
that is good..... burger, fries, and your favorite music
I know US McDonalds have very slow wifi. Or at least in Comparison to my wifi at home it is slow