In this article, you'll find some pointers on listening/watching to live streams with certain software applications.

MPlayer is a very good application when it comes to live streams. It supports a whole deal of protocols, including those of windows (mms://).
The only "drawback" is that MPlayer by default sets its cache to 8MB. For video over LAN, this is not really an issue, but when listening to a low bitrate audio stream on the internet, it takes a long time to fill up that cache.

The easiest way to listen to a live stream:

mplayer -cache size-in-KB "stream-url (e.g. http://)"

Be sure to set cache size to something more sane:

For low bitrate audio streams: 64 or   ...