If I work for a radio station where everybody is strictly volunteer, and we play a club DJ's mix on air, do we have to pay royalties to the artists?

You probably have a blanket license for public broadcast rights from ASCAP, BMI & SESAC. Check to make sure you do, and then check to make sure ASCAP/BMI/SESAC (whichever you're a member with, usually both ASCAP and BMI) have it covered in their catalog. If not, you'll need to track down the copyright holder (usually the publisher) for permission and to negotiate rates. Permission from the artist may or may not be sufficient you need permission from the composer/song-writer. Usually this permission flows through a publisher, but if you're dealing with an indie band doing a cover of a song by an indie composer, make sure you talk to the composer. Hopefully, you've got the ASCAP/BMI blanket subscription and will be covered through that this is the usual situation, but alternative radio is getting more and more off the charts as music becomes easier to make and more artists go independent. It's always worth checking copyright.gov to see who is the registered owner of the music, if registered. But even if unregistered *there is still a copyright*, and you need to abide by it. Be sure, not sued.

The radio station would not pay the artists of DJs directly. The radio station may or may not be required to obtain licenses from the different PROs (performing rights organizations), such as ASCAP, BMI, and SESAC to use the music in their catalogues. If it is satellite or internet radio, the royalties are handled by Sound Exchange. The radio station should consult with a lawyer and let the lawyer handle it. I do this kind of work.