I'm not the only one having problems, I know several other persons that has/had problems with it.
My current problem is with Windows Media Player 11. When opening a mms:// url in the external application the GUI freezes and the CPU gets high. When opening an url with embedded player (in Internet Explorer or Firefox) the player status is "Ready" and nothing happens when pressing the Play button:
I have tried various settings in Windows Media Player -> Tools -> Options -> Network. I have checked and unchecked the checkboxes but nothing works.
Update: I avoided the problem by installing WinAmp. Not only does the MMS streaming work very fast it is also possible to save play-lists with my favorite radio channels.