OK; so highlights from one of the "The World's Greatest Classical Music Festival" are sometimes heard over Classical 88.7-1, but never the entire annual event. Here's a fantastic front-row seat to the BBC Proms, live from Royal Albert Hall in London, as close as your computer, smartphone, or tablet.
"Founded in 1895, each season currently consists of more than 70 concerts in the Albert Hall, a series of chamber concerts at Cadogan Hall, additional Proms in the Park events across the United Kingdom on the last night, and associated educational and children's events." - Wikipedia