Stations are not the same as those via the dedicated app on your phone. If you find a song or artist, you can select them as seen in the video, but instead of "following" them, tap the little stations icon (looks like a crooked wifi symbol). This will start a station based on that artist which will play similar songs.
It's a good idea a la Pandora, but I don't like that you can't apparently thumb up or down a song to curate the music like you can with Pandora (or Spotify's Stations app). Maybe we'll get that functionality someday.