If you're running stock Sense launcher on your phone go into settings>manage applications. from that you will be faced with a list of apps on your phone, check through that to make sure fm radio is still showing. Having established that you still have it.... not normally deletable, come out of that and go to a screen, home one for example. Press and hold on that screen til you get the option to add a application, from this you should get a list of apps that will include 'fm radio', job done !
