I did a few more tests and had some good results using:
the N800 with the latest
RX-34_2007SE_3.2007.10-7 firmware
and the latest Mplayer: mplayer_1.0rc1-maemo.13.800

I also needed a command line interface:
Osso Xterm (advanced)

On my Windows XP system I installed VideoLAN
vlc-0.8.6a-win32.exe

I was able to stream using the MPEG 1 encapsulation and using the ASF container. the MP4 and MOV container did NOT work for me!
ASF seemed a bit better, but sometimes it didn't start right on the N800)

I used VLC to open my DirectShow device (a WinTV PVR 350) and stream live television to my N800 over local LAN (Wifi).
For a asf stream from my PC I used a bat file with the command (please note that it should be on 1 single line):

"C:\Program Files\VideoLAN\VLC\vlc.exe" -vvv -I rc --ttl 128 dshow:// :dshow-vdev="Hauppauge WinTV PVR PCI II Capture" :dshow-adev="" :dshow-tuner-channel=3 :dshow-tuner-country=31 :dshow-tuner-input=2 :sout=#transcode{vcodec=WMV2,vb=512,scale=0.5,acod ec=mp3,ab=128,channels=2}:duplicate{dst=std{access =http,mux=asf,dst=:1234}}

a little explanation:
"dst=:1234" here 1234 is the local port used.
"dshow-tuner-country=31" is the country code for frequencies used (I live in the Netherlands so it is "31")
"dshow-tuner-input=2" is the input frequencies from the medium (either antenna or cable)
"dshow-tuner-channel=3" is the channel you want to watch. (I altered the frequency table to make it identical to my cable providers list, so this would be "Nederland 3" a dutch TV station)

for streaming in the MPEG container I changed the last part of the command in:
:sout=#transcode{vcodec=mp1v,vb=384,scale=0.5,acod ec=mpga,ab=64,channels=2}:duplicate{dst=std{access =http,mux=mpeg1,dst=:1234}}

In order to start the TV on the N800 I opened the xterm command terminal on the N800 and ran:
mplayer http://192.168.0.1:1234

Here is "192.168.0.1" the local IP of the computer you are using (you can check on Windows XP by opening the command prompt and running "ipconfig")
and "1234" is the local port used.
If it doesn't work you should check if a firewall program isn't blocking port 1234 (try and temporally disabling the windows firewall)

It works perfectly on local LAN, but even if I lower the bitrate to REALLY low levels it doesn't work well using an Mobile phone Edge connection. (Real player and Orb does work very well)