Your example is a Windows Media Audio (WMA) stream delivered via Microsoft Media Server (MMS) protocol. The standard media player in OS2007 doesn't support WMA, so you're out of luck there. OS2008 adds Windows Media support in the standard media player, but I don't know that it supports MMS. (EDIT: It does. See below.)

MPlayer may provide better support for WMA and MMS, but I wouldn't know. I don't use it.

EDIT: The standard media player in OS2008 does support MMS and works with this stream. It just can't parse the ASX file.

Try this link.

Here's how to get that link on your own:

1. Go to the same page you provided as an example above.
2. Locate where the page says, "Standard Player: Windows Media". It's in the upper right corner.
3. Save the ASX file linked to by "Windows Media".
4. Open the ASX file in a text editor, and copy one of the MMS URLs.
5. Paste the MMS URL into the address field of a web browser.