^That's odd. Sometimes it depends on your theme, i.e it might be slightly more difficult to paste the code in the right place. Just in case you're doing it wrong (and for others) I'll post some instructions.
Once you have your code copied from Grooveshark all you need to do is:
1) go to your dash and select customise
2) select theme
3) then chose the custom HTML button
4) search through the text for custom CSS (it's usually underlined in red)
5) paste your code after this text
6) save and close (or select preview before saving and you should see whether it's at the top of your page or not)