Lyric discussion by BenMaras 

Cover art for I of the Mourning lyrics by Smashing Pumpkins, The

I think this song is about someone who secludes himself, because life (or someone in his life) hurt him so much. "radio, play my favorite song" he's reffering to the only contact he has to the outside world, its the song that makes him forget the pain, maybe that takes him back to the time before.